Related papers: Dynamic Market Design
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
Many systems exhibit complex temporal dynamics due to the presence of different processes taking place simultaneously. An important task in such systems is to extract a simplified view of their time-dependent network of interactions.…
In data modelling, product information has most often been handled separately from process information. The integration of product and process models in a unified data model could provide the means by which information could be shared…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
We consider a simple decision model in which a set of agents randomly choose one of two competing shops selling the same perishable products (typically food). The satisfaction of agents with respect to a given store is related to the…
Graphs are widespread data structures used to model a wide variety of problems. The sheer amount of data to be processed has prompted the creation of a myriad of systems that help us cope with massive scale graphs. The pressure to deliver…
Modern control systems are featured by their hierarchical structure composing of cyber, physical, and human layers. The intricate dependencies among multiple layers and units of modern control systems require an integrated framework to…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
Supply chain formation is the process of determining the structure and terms of exchange relationships to enable a multilevel, multiagent production activity. We present a simple model of supply chains, highlighting two characteristic…
Large-scale online campaigns, malicious or otherwise, require a significant degree of coordination among participants, which sparked interest in the study of coordinated online behavior. State-of-the-art methods for detecting coordinated…
We discuss potential market mechanisms for the GRID. A complete dynamical model of a GRID market is defined with three types of agents. Providers, middlemen and users exchange universal GRID computing units (GCUs) at varying prices.…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
Modeling processes are the activities of capturing and representing processes and control of their dynamic behavior. Desired features of the model include capture of relevant aspects of a real phenomenon, understandability, and completeness…
We study a model of congestible resources, where pricing and scheduling are intertwined. Motivated by the problem of pricing cloud instances, we model a cloud computing service as linked $GI/GI/\cdot$ queuing systems where the provider…
This paper focuses on modeling the dynamic attributes of a dynamic network with a fixed number of vertices. These attributes are considered as time series which dependency structure is influenced by the underlying network. They are modeled…
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…
This paper studies how platform design shapes strategic behavior in decentralized electricity trading. We develop a finite-horizon dynamic game in which photovoltaic- and battery-equipped players ("prosumers") trade on a platform that maps…
Data-structure dynamization is a general approach for making static data structures dynamic. It is used extensively in geometric settings and in the guise of so-called merge (or compaction) policies in big-data databases such as Google…