Related papers: Arbitrage on Decentralized Exchanges
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Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…
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We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
Agent-based solutions lend themselves well to address privacy concerns and the computational scalability needs of future distributed electric grids and end-use energy exchanges. Decentralized decision-making methods are the key to enabling…
The introduction of aggregator structures has proven effective in bringing fairness to energy resource allocation by negotiating for more resources and economic surplus on behalf of users. This paper extends the fair energy resource…
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…
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Statistical arbitrage is a class of financial trading strategies using mean reversion models. The corresponding techniques rely on a number of assumptions which may not hold for general non-stationary stochastic processes. This paper…
A prevalent market structure in the Internet economy consists of buyers and sellers connected by a platform (such as Amazon or eBay) that acts as an intermediary and keeps a share of the revenue of each transaction. While the optimal…
In a decentralized balancing model, Balance Responsible Parties (BRPs) are encouraged by the Transmission System Operator (TSO) to deviate from their schedule to help the system restore balance, also referred to as implicit balancing. This…
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations,…
We consider ride-sharing networks served byhuman-driven vehicles and autonomous vehicles. First, wepropose a novel model for ride-sharing in this mixed autonomysetting for a multi-location network in which the platformsets prices for…
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In this paper, we consider dynamic multi-agent systems (MAS) for decentralized resource allocation. The MAS operates at a competitive equilibrium to ensure supply and demand are balanced. First, we investigate the MAS over a finite horizon.…
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It is a common practice in the current literature of electricity markets to use game-theoretic approaches for strategic price bidding. However, they generally rely on the assumption that the strategic bidders have prior knowledge of rival…
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