Related papers: Single-Sample Bilateral Trade with a Broker

In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…

Many recent models of trade dynamics use the simple idea of wealth exchanges among economic agents in order to obtain a stable or equilibrium distribution of wealth among the agents. In particular, a plain analogy compares the wealth in a…

Fair division is typically framed from a centralized perspective. However, in practice resource allocation often occurs via decentralized networks. We study a decentralized variant of fair division inspired by altruistic dynamics observed…

Two kinetic exchange models are proposed to explore the dynamics of closed economic markets characterized by random exchanges, saving propensities, and collective transactions. Model I simulates a system where individual transactions occur…

Two-sided matching platforms provide users with menus of match recommendations. To maximize the number of realized matches between the two sides (referred here as customers and suppliers), the platform must balance the inherent tension…

We propose a dynamic model of a prediction market in which agents predict the values of a sequence of random vectors. The main result shows that if there are agents who make correct (or asymptotically correct) next-period forecasts, then…

We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…

This paper considers a distributionally robust chance constraint model with a general ambiguity set. We show that a sample based approximation of this model converges under suitable sufficient conditions. We also show that upper and lower…

This paper aims to investigate and achieve seller-side fairness within online marketplaces, where many sellers and their items are not sufficiently exposed to customers in an e-commerce platform. This phenomenon raises concerns regarding…

We provide sufficient conditions for revenue maximization in a two-good monopoly where the buyer's values for the items come from independent (but not necessarily identical) distributions over bounded intervals. Under certain distributional…

The Bayesian persuasion paradigm of strategic communication models interaction between a privately-informed agent, called the sender, and an ignorant but rational agent, called the receiver. The goal is typically to design a (near-)optimal…

An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…

This paper considers prior-independent mechanism design, in which a single mechanism is designed to achieve approximately optimal performance on every prior distribution from a given class. Most results in this literature focus on…

We study non-monetary mechanisms for the fair and efficient allocation of reusable public resources, i.e., resources used for varying durations. We consider settings where a limited resource is repeatedly shared among a set of agents, each…

We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…

We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…

We develop a rigorous walk-forward validation framework for algorithmic trading designed to mitigate overfitting and lookahead bias. Our methodology combines interpretable hypothesis-driven signal generation with reinforcement learning and…

Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…

Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…

Pair trading is one of the most effective statistical arbitrage strategies which seeks a neutral profit by hedging a pair of selected assets. Existing methods generally decompose the task into two separate steps: pair selection and trading.…