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We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…
A public decision-making problem consists of a set of issues, each with multiple possible alternatives, and a set of competing agents, each with a preferred alternative for each issue. We study adaptations of market economies to this…
Water markets represent a policy tool that aims at finding efficient water allocations among competing users by promoting reallocations from low-value to high-value uses. In Canada, water markets have been discussed and implemented at the…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
As the number of prosumers with distributed energy resources (DERs) grows, the conventional centralized operation scheme may suffer from conflicting interests, privacy concerns, and incentive inadequacy. In this paper, we propose an energy…
We introduce the problem of groundwater trading, capturing the emergent groundwater market setups among stakeholders in a given groundwater basin. The agents optimize their production, taking into account their available water rights, the…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
The Fisher market equilibrium for private goods and the Lindahl equilibrium for public goods are classic and fundamental solution concepts for market equilibria. While Fisher market equilibria have been well-studied, the theoretical…
This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for…
A Fisher market is an economic model of buyer and seller interactions in which each buyer's utility depends only on the bundle of goods she obtains. Many people's interests, however, are affected by their social interactions with others. In…
Investments into renewable energy are increasing rapidly around the world. Energy system models are able to provide insights into optimal investment capacities and thus are widely used to aid the long-term investment decision-making under…
The Walras approach to equilibrium focuses on the existence of market prices at which the total demands for goods are matched by the total supplies. Trading activities that might identify such prices by bringing agents together as potential…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
In this paper, we propose a bilateral peer-to-peer (P2P) energy trading scheme under single-contract and multi-contract market setups, both as an assignment game, and a special class of coalitional games. {The proposed market formulation…
Prediction markets show considerable promise for developing flexible mechanisms for machine learning. Here, machine learning markets for multivariate systems are defined, and a utility-based framework is established for their analysis. This…
Pair trading is a market-neutral quantitative trading strategy that exploits price anomalies between two correlated assets. By taking simultaneous long and short positions, it generates profits based on relative price movements, independent…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
We suggest a framework to determine optimal trading fees for constant function market makers (CFMMs) in order to maximize liquidity provider returns. In a setting of multiple competing liquidity pools, we show that no race to the bottom…
In the restructured electricity industry, electricity pooling markets are an oligopoly with strategic producers possessing private information (private production cost function). We focus on pooling markets where aggregate demand is…
Public goods are often either over-consumed in the absence of regulatory mechanisms, or remain completely unused, as in the Covid-19 pandemic, where social distance constraints are enforced to limit the number of people who can share public…