Related papers: Latency Advantages in Common-Value Auctions
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
All-pay auctions, a common mechanism for various human and agent interactions, suffers, like many other mechanisms, from the possibility of players' failure to participate in the auction. We model such failures, and fully characterize…
In many settings agents participate in multiple different auctions that are not necessarily implemented simultaneously. Future opportunities affect strategic considerations of the players in each auction, introducing externalities.…
Ad exchanges are an emerging platform for trading advertisement slots on the web with billions of dollars revenue per year. Every time a user visits a web page, the publisher of that web page can ask an ad exchange to auction off the ad…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
In this paper, we present a pricing mechanism that aligns incentives of agents who exchange resources on a decentralized ledger with the goal of maximizing transaction throughput. Subdividing a blockchain ledger into shards promises to…
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement,…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how…
We study the problem of selling a good to a group of bidders with interdependent values in a prior-free setting. Each bidder has a signal that can take one of $k$ different values, and her value for the good is a weakly increasing function…
An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…
Recent literature highlights the advantages of implementing social rules via dynamic game forms. We characterize when truth-telling remains a dominant strategy in gradual mechanisms implementing strategy-proof social rules, where agents…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
Two agents trade an item in a simultaneous offer setting, where the exchange takes place if and only if the buyer's bid price weakly exceeds the seller's ask price. Each agent is randomly assigned the buyer or seller role. Both agents are…
We consider a class of auctions (Lowest Unique Bid Auctions) that have achieved a considerable success on the Internet. Bids are made in cents (of euro) and every bidder can bid as many numbers as she wants. The lowest unique bid wins the…
The concurrency control algorithms in transactional systems limits concurrency to provide strong semantics, which leads to poor performance under high contention. As a consequence, many transactional systems eschew strong semantics to…
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…
When agents with independent priors bid for a single item, Myerson's optimal auction maximizes expected revenue, whereas Vickrey's second-price auction optimizes social welfare. We address the natural question of trade-offs between the two…
Motivated by online advertising auctions, we consider repeated Vickrey auctions where goods of unknown value are sold sequentially and bidders only learn (potentially noisy) information about a good's value once it is purchased. We adopt an…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…