Related papers: Single-Sample Bilateral Trade with a Broker
We study bilateral trade between two strategic agents. The celebrated result of Myerson and Satterthwaite states that in general, no incentive-compatible, individually rational and weakly budget balanced mechanism can be efficient. I.e., no…
We investigate brokerage between traders from an online learning perspective. At any round $t$, two traders arrive with their private valuations, and the broker proposes a trading price. Unlike other bilateral trade problems already studied…
This paper proposes a new one-sided matching market model in which every agent has a cost function that is allowed to take a negative value. Our model aims to capture the situation where some agents can profit by exchanging their obtained…
Bilateral trade is a fundamental economic scenario comprising a strategically acting buyer and seller, each holding valuations for the item, drawn from publicly known distributions. A mechanism is supposed to facilitate trade between these…
We study online bilateral trade, where a learner facilitates repeated exchanges between a buyer and a seller to maximize the Gain From Trade (GFT), i.e., the social welfare. In doing so, the learner must guarantee not to subsidize the…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
We examine information structure design, also called "persuasion" or "signaling", in the presence of a constraint on the amount of communication. We focus on the fundamental setting of bilateral trade, which in its simplest form involves a…
We consider the efficient outcome of a canonical economic market model involving buyers and sellers with independent and identically distributed random valuations and costs, respectively. When the number of buyers and sellers is large, we…
We study the problem of setting a price for a potential buyer with a valuation drawn from an unknown distribution $D$. The seller has "data"' about $D$ in the form of $m \ge 1$ i.i.d. samples, and the algorithmic challenge is to use these…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…
Bilateral trade is one of the most natural and important forms of economic interaction: A seller has a single, indivisible item for sale, and a buyer is potentially interested. The two parties typically have different, privately known…
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow…
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
This paper focuses on the problem of fairly and efficiently allocating resources to agents. We consider a specific setting, usually referred to as a housing market, where each agent must receive exactly one resource (and initially owns…
Consider a barter exchange problem over a finite set of agents, where each agent owns an item and is also associated with a (privately known) wish list of items belonging to the other agents. An outcome of the problem is a (re)allocation of…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
We consider the problem of maximizing the gains from trade (GFT) in two-sided markets. The seminal impossibility result by Myerson and Satterthwaite shows that even for bilateral trade, there is no individually rational (IR), Bayesian…