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Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
When several two-sided matching markets merge into one, it is inevitable that some agents will become worse off if the matching mechanism used is stable. I formalize this observation by defining the property of integration monotonicity,…
Central to privacy concerns is that firms may use consumer data to price discriminate. A common policy response is that consumers should be given control over which firms access their data and how. Since firms learn about a consumer's…
We investigate online pricing in two-sided markets where a platform repeatedly posts prices based on binary accept/reject feedback to maximize gains-from-trade (GFT) or profit. We characterize the regret achievable across three mechanism…
We introduce a reinforcement learning framework for economic design where the interaction between the environment designer and the participants is modeled as a Stackelberg game. In this game, the designer (leader) sets up the rules of the…
Computational advertising has been studied to design efficient marketing strategies that maximize the number of acquired customers. In an increased competitive market, however, a market leader (a leader) requires the acquisition of new…
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…
Two-sided matching markets describe a large class of problems wherein participants from one side of the market must be matched to those from the other side according to their preferences. In many real-world applications (e.g. content…
We study a data marketplace where a broker intermediates between buyers, who seek to estimate the mean \(\mu\) of an unknown normal distribution \(\Ncal(\mu, \sigma^2)\), and contributors, who can collect data from this distribution at a…
Quality information on online platforms is often conveyed through simple, percentile-based badges and tiers that remain stable across different market environments. Motivated by this empirical evidence, we study robust quality disclosure in…
We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system is modeled by the linear advection equation. We consider…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
Recent years have witnessed a significant increase in cyber crimes and system failures caused by misinformation. Many of these instances can be classified as gaslighting, which involves manipulating the perceptions of others through the use…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
This paper studies how platform design shapes strategic behavior in decentralized electricity trading. We develop a finite-horizon dynamic game in which photovoltaic- and battery-equipped players ("prosumers") trade on a platform that maps…
In modern buildings renewable energy generators and storage devices are spreading, and consequently the role of the users in the power grid is shifting from passive to active. We design a demand response scheme that exploits the prosumers'…
We formulate and study a general time-varying multi-agent system where players repeatedly compete under incomplete information. Our work is motivated by scenarios commonly observed in online advertising and retail marketplaces, where agents…
We study Stackelberg Equilibria (Bowley optima) in a monopolistic centralized sequential-move insurance market, with a profit-maximizing insurer who sets premia using a distortion premium principle, and a single policyholder who seeks to…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…