Related papers: TimeBoost: Do Ahead-of-Time Auctions Work?
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
The majority of online marketplaces offer promotion programs to sellers to acquire additional customers for their products. These programs typically allow sellers to allocate advertising budgets to promote their products, with higher…
In many applications, ads are displayed together with the prices, so as to provide a direct comparison among similar products or services. The price-displaying feature not only influences the consumers' decisions, but also affects the…
Online bidding serves as a fundamental information system in mobile ecosystems, facilitating real-time ad allocation across billions of devices while optimizing both platform performance and user experience through data-driven decision…
Auto-bidding systems are widely used in advertising to automatically determine bid values under constraints such as total budget and Return-on-Spend (RoS) targets. Existing works often assume that the value of an ad impression, such as the…
We study revenue optimization in a repeated auction between a single seller and a single buyer. Traditionally, the design of repeated auctions requires strong modeling assumptions about the bidder behavior, such as it being myopic, infinite…
Given two time series, A and B, sampled asynchronously at different times {t_A_i} and {t_B_j}, termed "ticks", how can one best estimate the correlation coefficient \rho between changes in A and B? We derive a natural, minimum-variance…
We study the problem of auction design for advertising platforms that face strategic advertisers who are bidding across platforms. Each advertiser's goal is to maximize their total value or conversions while satisfying some constraint(s)…
Real-time advertising allows advertisers to bid for each impression for a visiting user. To optimize specific goals such as maximizing revenue and return on investment (ROI) led by ad placements, advertisers not only need to estimate the…
We price weather-contingent options by use of Monte Carlo simulations. After calibrating the models to fit quoted prices, we analyze bid-ask spreads in terms of correlations across markets. Results are presented for a double-trigger Weather…
We perform a simulation-based analysis of keyword auctions modeled as one-shot games of incomplete information to study a series of mechanism design questions. Our first question addresses the degree to which incentive compatibility fails…
This paper addresses the question of how much to bid to maximize the profit when trading in two electricity markets: the hourly Day-Ahead Auction and the quarter-hourly Intraday Auction. For optimal coordinated bidding many price scenarios…
In online ad markets, a rising number of advertisers are employing bidding agencies to participate in ad auctions. These agencies are specialized in designing online algorithms and bidding on behalf of their clients. Typically, an agency…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
Designing an incentive-compatible auction mechanism that maximizes the auctioneer's revenue while minimizes the bidders' ex-post regret is an important yet intricate problem in economics. Remarkable progress has been achieved through…
In online advertising markets, budget-constrained advertisers acquire ad placements through repeated bidding in auctions on various platforms. We present a strategy for bidding optimally in a set of auctions that may or may not be…
This paper studies mechanism design for auctions with externalities on budgets, a novel setting where the budgets that bidders commit are adjusted due to the externality of the competitors' allocation outcomes-a departure from traditional…
We give an auction for downward-closed environments that generalizes the random sampling profit extraction auction for digital goods of Fiat et al. (2002). The mechanism divides the agents in to a market and a sample using a biased coin and…
This paper considers an electric vehicle charging scheduling setting where vehicle users can reserve charging time in advance at a charging station. In this setting, users are allowed to explicitly express their preferences over different…
In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore…