Related papers: Market Making with Exogenous Competition
We achieve two primary goals in this work. First, we propose a flexible algorithm that can simulate various scenarios of state/government intervention. Secondly, we analyze the scenario exhibiting the critical behavior of the market of…
Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…
In market modeling, one often treats buyers as a homogeneous group. In this paper we consider buyers with heterogeneous preferences and products available in many variants. Such a framework allows us to successfully model various market…
Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…
Most recent research in network revenue management incorporates choice behavior that models the customers' buying logic. These models are consequently more complex to solve, but they return a more robust policy that usually generates better…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
In digital goods auctions, there is an auctioneer who sells an item with unlimited supply to a set of potential buyers, and the objective is to design truthful auction to maximize the total profit of the auctioneer. Motivated from an…
Across machine learning (ML) sub-disciplines, researchers make explicit mathematical assumptions in order to facilitate proof-writing. We note that, specifically in the area of fairness-accuracy trade-off optimization scholarship, similar…
We study independent private values auction environments in which the auctioneer's revenue depends nonlinearly on bidders' interim winning probabilities. Our framework accommodates heterogeneity among bidders and places no ad hoc…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
There is growing concern about tacit collusion using algorithmic pricing, and regulators need tools to help detect the possibility of such collusion. This paper studies how to design a hypothesis testing framework in order to decide whether…
Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the…
Managing a book of options on several underlying involves controlling positions of several thousands of financial assets. It is one of the most challenging financial problems involving both pricing and microstructural modeling. An options…
We study the problem of determining how much finished goods inventory to source from different capacitated facilities in order to maximize profits resulting from sales of such inventory. We consider a problem wherein there is uncertainty in…
The disruption of supplies during the Covid-19 crisis has led to shortages but has also shown the adaptability of some companies, which have succeeded in adapting their production chains quickly to produce goods experiencing shortages:…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
We consider a simple model of rational agents competing in a single product market described by simple linear demand curve. Contrary to accepted economic theory, the agents' production levels synchronise in the absence of conscious…
We analyze an operational policy for a multinational manufacturer to hedge against exchange rate uncertainties and competition. We consider a single product and single period. Because of long-lead times, the capacity investment must done…
Behavioral experiments on the ultimatum game (UG) reveal that we humans prefer fair acts, which contradicts the prediction made in orthodox Economics. Existing explanations, however, are mostly attributed to exogenous factors within the…