Related papers: Optimal Auction Design for Dynamic Stochastic Envi…
Group-buying auction has become a popular marketing strategy in the last decade. In this paper, a stochastic model is developed for an inventory system subjects to demands from group-buying auctions. The model discussed here takes into the…
In this work, we investigate the market-making problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market-making models typically rely on terminal…
We introduce a new numerical framework to learn optimal bidding strategies in repeated auctions when the seller uses past bids to optimize her mechanism. Crucially, we do not assume that the bidders know what optimization mechanism is used…
In this paper, we propose a novel sealed-bid auction framework to address the problem of dynamic spectrum allocation in cognitive radio (CR) networks. We design an optimal auction mechanism that maximizes the moderator's expected utility,…
In recent years, a new branch of auction models called diffusion auction has extended the traditional auction into social network scenarios. The diffusion auction models the auction as a networked market whose nodes are potential customers…
We consider assortment and inventory planning problems with dynamic stockout-based substitution effects, and without replenishment, in two different settings: (1) Customers can see all available products when they arrive, a typical scenario…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…
In this paper, we present the first approximation algorithms for the problem of designing revenue optimal Bayesian incentive compatible auctions when there are multiple (heterogeneous) items and when bidders can have arbitrary demand and…
Minimizing the peak power consumption and matching demand to supply, under fixed threshold polices, are two key requirements for the success of the future electricity market. In this work, we consider dynamic pricing methods to minimize the…
From social networks to supply chains, more and more aspects of how humans, firms and organizations interact is mediated by artificial learning agents. As the influence of machine learning systems grows, it is paramount that we study how to…
In recent years, blockchain has gained widespread attention as an emerging technology for decentralization, transparency, and immutability in advancing online activities over public networks. As an essential market process, auctions have…
In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that…
We study the power and limits of optimal dynamic pricing in combinatorial markets; i.e., dynamic pricing that leads to optimal social welfare. Previous work by Cohen-Addad et al. [EC'16] demonstrated the existence of optimal dynamic prices…
We study a multi-objective model on the allocation of reusable resources under model uncertainty. Heterogeneous customers arrive sequentially according to a latent stochastic process, request for certain amounts of resources, and occupy…
We study the problem of designing posted-price mechanisms in order to sell a single unit of a single item within a finite period of time. Motivated by real-world problems, such as, e.g., long-term rental of rooms and apartments, we assume…
High-frequency trading, in both traditional and decentralized markets, induces latency races and redundant order flow as traders spend resources to win time-sensitive opportunities. We show that auctioning artificial time priority can…
In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…
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…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
The proliferation of portable devices (PDAs, smartphones, digital multimedia players, and so forth) allows mobile users to carry around a pool of computing, storage and communication resources. Sharing these resources with other users…