Related papers: Double Auctions: Formalization and Automated Check…
We present a general framework for designing approximately revenue-optimal mechanisms for multi-item additive auctions, which applies to both truthful and non-truthful auctions. Given a (not necessarily truthful) single-item auction format…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
Exploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36 different set ups made by varying both…
We study the problem of designing optimal auctions under restrictions on the set of permissible allocations. In addition to allowing us to restrict to deterministic mechanisms, we can also indirectly model non-additive valuations. We prove…
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…
In this paper, we study online double auctions, where multiple sellers and multiple buyers arrive and depart dynamically to exchange one commodity. We show that there is no deterministic online double auction that is truthful and…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
A classical trading experiment consists of a set of unit demand buyers and unit supply sellers with identical items. Each agent's value or opportunity cost for the item is their private information and preferences are quasi-linear. Trade…
This paper studies some basic problems in a multiple-object auction model using methodologies from theoretical computer science. We are especially concerned with situations where an adversary bidder knows the bidding algorithms of all the…
Mechanism design, a branch of economics, aims to design rules that can autonomously achieve desired outcomes in resource allocation and public decision making. The research on mechanism design using machine learning is called automated…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
In a multiple-object auction, every bidder tries to win as many objects as possible with a bidding algorithm. This paper studies position-randomized auctions, which form a special class of multiple-object auctions where a bidding algorithm…
In online ad markets, a rising number of advertisers are employing bidding agencies to participate in ad auctions. These agencies are specialized in designing online algorithms and bidding on behalf of their clients. Typically, an agency…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
Advertising becomes one of the most popular ways of monetizing an online transaction platform. Usually, sponsored advertisements are posted on the most attractive positions to enhance the number of clicks. However, multiple e-commerce…
A central challenge in mechanism design is to develop truthful trade mechanisms that maximize the expected gains-from-trade (GFT) in two-sided markets with strategic agents. As achieving the full GFT is generally impossible, much of the…