Related papers: Optimal Benchmark Design under Costly Manipulation
First-price auctions have many desirable properties, including uniquely possessing some, like credibility. However, first-price auctions are also inherently non-truthful, and non-truthfulness may result in instability and inefficiencies.…
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural…
This paper investigates how pricing schemes can achieve efficient allocations in blockchain systems featuring multiple transaction queues under a global capacity constraint. I model a capacity-constrained blockchain where users submit…
We describe a novel framework for discrete choice modeling and price optimization for settings where scheduled service options (often hierarchical) are offered to customers, which is applicable across many businesses including some within…
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the…
Benchmarking the performance of quantum optimization algorithms is crucial for identifying utility for industry-relevant use cases. Benchmarking processes vary between optimization applications and depend on user-specified goals. The…
In this paper, we examine the biases that arise when firms run A/B tests on continuous parameters to estimate global treatment effects on performance metrics of interest; we particularly focus on price experiments to measure the price…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
The emerging edge computing paradigm promises to deliver superior user experience and enable a wide range of Internet of Things (IoT) applications. In this work, we propose a new market-based framework for efficiently allocating resources…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
Electricity prices and the end user net load vary with time. Electricity consumers equipped with energy storage devices can perform energy arbitrage, i.e., buy when energy is cheap or when there is a deficit of energy, and sell it when it…
The publication process both determines which research receives the most attention, and influences the supply of research through its impact on researchers' private incentives. We introduce a framework to study optimal publication decisions…
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…
Matching platforms, from ridesharing to food delivery to competitive gaming, face a fundamental operational dilemma: match agents immediately to minimize waiting costs, or delay to exploit the efficiency gains of thicker markets. Yet…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
This paper examines the economic and security implications of Proof-of-Stake (POS) designs, providing a survey of POS design choices and their underlying economic principles in prominent POS-blockchains. The paper argues that…
Understanding how the optimal value of an optimisation problem changes when its input data is modified is an old question in mathematical optimisation. This paper investigates the computation of the optimal values of a family of (possibly…