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In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
Predictions of uncertainty-aware models are diverse, ranging from single point estimates (often averaged over prediction samples) to predictive distributions, to set-valued or credal-set representations. We propose a novel unified…
Over the last decade, combinatorial algorithms have been obtained for exactly solving several nonlinear convex programs. We first provide a formal context to this activity by introducing the notion of {\em rational convex programs} -- this…
The accelerated development in Grid and peer-to-peer computing has positioned them as promising next generation computing platforms. They enable the creation of Virtual Enterprises (VE) for sharing resources distributed across the world.…
We consider trading indivisible and easily transferable \emph{durable goods}, which are goods that an agent can receive, use, and trade again for a different good. This is often the case with books that can be read and later exchanged for…
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a…
In prediction-based decision-making systems, different perspectives can be at odds: The short-term business goals of the decision makers are often in conflict with the decision subjects' wish to be treated fairly. Balancing these two…
We study a recommendation system where sellers compete for visibility by strategically offering commissions to a platform that optimally curates a ranked menu of items and their respective prices for each customer. Customers interact…
We investigate the ability of a homogeneous collection of deferrable energy loads to behave as a battery; that is, to absorb and release energy in a controllable fashion up to fixed and predetermined limits on volume, charge rate and…
While historically, economists have been primarily occupied with analyzing the behaviour of the markets, electronic trading gave rise to a new class of unprecedented problems associated with market fairness, transparency and manipulation.…
Large dynamic economies with heterogeneous agents and aggregate shocks are central to many important applications, yet their equilibrium analysis remains computationally challenging. This is because the standard solution approach, rational…
Entity matching (EM) is the most critical step for entity resolution (ER). While current deep learningbased methods achieve very impressive performance on standard EM benchmarks, their realworld application performance is much frustrating.…
In this article, we develop a modular framework for the application of Reinforcement Learning to the problem of Optimal Trade Execution. The framework is designed with flexibility in mind, in order to ease the implementation of different…
It is well known that a game equilibrium can be far from efficient or fair, due to the misalignment between individual and social objectives. The focus of this paper is to design a new mechanism framework that induces an efficient and fair…
In this paper I discuss truthful equilibria in common agency models. Specifically, I provide general conditions under which truthful equilibria are plausible, easy to calculate and efficient. These conditions generalize similar results in…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
Item Price Elasticity is used to quantify the responsiveness of consumer demand to changes in item prices, enabling businesses to create pricing strategies and optimize revenue management. Sectors such as store retail, e-commerce, and…
The continuous penetration of distributed energy resources (DER) in the electric power grid is driving a new paradigm shift towards transactive energy system (TES), an active and more sustainable system characterized by distributed…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
We study a setting where an analyst has access to purely aggregate information about the consumption choices of a heterogenous population of individuals. We show that observing the statistical moments of market demand allows the analyst to…