Related papers: Managing Procurement Auction Failure: Bid Requirem…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
Two general algorithms based on opportunity costs are given for approximating a revenue-maximizing set of bids an auctioneer should accept, in a combinatorial auction in which each bidder offers a price for some subset of the available…
A standard result from auction theory is that bidding truthfully in a second price auction is a weakly dominant strategy. The result, however, does not apply in the presence of Cost Per Action (CPA) constraints. Such constraints exist, for…
In many applications, ads are displayed together with the prices, so as to provide a direct comparison among similar products or services. The price-displaying feature not only influences the consumers' decisions, but also affects the…
Automated bidding to optimize online advertising with various constraints, e.g. ROI constraints and budget constraints, is widely adopted by advertisers. A key challenge lies in designing algorithms for non-truthful mechanisms with ROI…
We study the problem of designing procurement auctions for the strategic uncapacitated facility location problem: a company needs to procure a set of facility locations in order to serve its customers and each facility location is owned by…
For selling a single item to agents with independent but non-identically distributed values, the revenue optimal auction is complex. With respect to it, Hartline and Roughgarden (2009) showed that the approximation factor of the…
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 a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
How should a buyer design procurement mechanisms when suppliers' costs are unknown, and the buyer does not have a prior belief? We demonstrate that simple mechanisms - that share a constant fraction of the buyer utility with the seller -…
Second-price auctions with deposits are frequently used in blockchain environments. An auction takes place on-chain: bidders deposit an amount that fully covers their bid (but possibly exceeds it) in a smart contract. The deposit is used as…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
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…
We perform a simulation-based analysis of keyword auctions modeled as one-shot games of incomplete information to study a series of mechanism design questions. Our first question addresses the degree to which incentive compatibility fails…
Developing efficient sequential bidding strategies for repeated auctions is an important practical challenge in various marketing tasks. In this setting, the bidding agent obtains information, on both the value of the item at sale and the…
The standard framework of online bidding algorithm design assumes that the seller commits himself to faithfully implementing the rules of the adopted auction. However, the seller may attempt to cheat in execution to increase his revenue if…
We consider the problem of designing prices for public transport where payment enforcing is done through random inspection of passengers' tickets as opposed to physically blocking their access. Passengers are fully strategic such that they…
In this paper, we investigate the problem about how to bid in repeated contextual first price auctions. We consider a single bidder (learner) who repeatedly bids in the first price auctions: at each time $t$, the learner observes a context…
We design mechanisms for online procurement of data held by strategic agents for machine learning tasks. The challenge is to use past data to actively price future data and give learning guarantees even when an agent's cost for revealing…