Related papers: Double Auctions: Formalization and Automated Check…
Double sided auctions are widely used in financial markets to match demand and supply. Prior works on double sided auctions have focused primarily on single quantity trade requests. We extend various notions of double sided auctions to…
Continuous double auctions are commonly used to match orders at currency, stock, and commodities exchanges. A verified implementation of continuous double auctions is a useful tool for market regulators as they give rise to automated…
We introduce a formal framework for analyzing trades in financial markets. An exchange is where multiple buyers and sellers participate to trade. These days, all big exchanges use computer algorithms that implement double sided auctions to…
We introduce a formal framework for analyzing trades in financial markets. These days, all big exchanges use computer algorithms to match buy and sell requests and these algorithms must abide by certain regulatory guidelines. For example,…
We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
Online double auctions (DAs) model a dynamic two-sided matching problem with private information and self-interest, and are relevant for dynamic resource and task allocation problems. We present a general method to design truthful DAs, such…
In this paper we present and evaluate a general framework for the design of truthful auctions for matching agents in a dynamic, two-sided market. A single commodity, such as a resource or a task, is bought and sold by multiple buyers and…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
Auctions are important mechanisms extensively implemented in various markets, e.g., search engines' keyword auctions, antique auctions, etc. Finding an optimal auction mechanism is extremely difficult due to the constraints of imperfect…
We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…
With the recent technological feasibility of electronic commerce over the Internet, much attention has been given to the design of electronic markets for various types of electronically-tradable goods. Such markets, however, will normally…
In a seminal paper, McAfee (1992) presented a truthful mechanism for double auctions, attaining asymptotically-optimal gain-from-trade without any prior information on the valuations of the traders. McAfee's mechanism handles…
Continuous double auctions such as the limit order book employed by exchanges are widely used in practice to match buyers and sellers of a variety of financial instruments. In this work, we develop an agent-based model for trading in a…
We develop a general duality-theory framework for revenue maximization in additive Bayesian auctions. The framework extends linear programming duality and complementarity to constraints with partial derivatives. The dual system reveals the…
Duality of linear programming is a standard approach to the classical weighted maximum matching problem. From an economic perspective, the dual variables can be regarded as prices of products and payoffs of buyers in a two-sided matching…
Motivated by applications such as stock exchanges and spectrum auctions, there is a growing interest in mechanisms for arranging trade in two-sided markets. Existing mechanisms are either not truthful, or do not guarantee an…
We design a framework for truthful double multi-channel spectrum auctions where each seller (or buyer) can sell (or buy) multiple spectrum channels based on their individual needs. Open, market-based spectrum trading motivates existing…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…