Related papers: Stronger core results with multidimensional prices
A seminal theorem of Myerson and Satterthwaite (1983) proves that, in a game of bilateral trade between a single buyer and a single seller, no mechanism can be simultaneously individually-rational, budget-balanced, incentive-compatible and…
We study stable allocations in an exchange economy with indivisible goods. The problem is well-known to be challenging, and rich enough to encode fundamentally unstable economies, such as the roommate problem. Our approach stems from…
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new…
There has recently been an explosion of interest in how "higher-order" structures emerge in complex systems. This "emergent" organization has been found in a variety of natural and artificial systems, although at present the field lacks a…
We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…
A variety of approaches has been developed to deal with uncertain optimization problems. Often, they start with a given set of uncertainties and then try to minimize the influence of these uncertainties. Depending on the approach used, the…
I prove that competitive market outcomes require computational intractability. If P = NP, firms can efficiently solve the collusion detection problem, identifying deviations from cooperative agreements in complex, noisy markets and thereby…
We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating…
We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good subject to exogenous stochastic demand. Each producer…
I introduce a stability notion, dynamic stability, for two-sided dynamic matching markets where (i) matching opportunities arrive over time, (ii) matching is one-to-one, and (iii) matching is irreversible. The definition addresses two…
General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…
We show that when firms compete via supply functions, transferring high-cost capacity to the largest, most efficient firm--thereby diversifying its production technologies while increasing concentration--can lower prices by prompting the…
One of the major drawbacks of the celebrated VCG auction is its low (or zero) revenue even when the agents have high value for the goods and a {\em competitive} outcome could have generated a significant revenue. A competitive outcome is…
Competitive equilibrium (CE) is a fundamental concept in market economics. Its efficiency and fairness properties make it particularly appealing as a rule for fair allocation of resources among agents with possibly different entitlements.…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
Unsatisfiable core analysis can boost the computation of optimum stable models for logic programs with weak constraints. However, current solvers employing unsatisfiable core analysis either run to completion, or provide no suboptimal…
Core-selecting combinatorial auctions are popular auction designs that constrain prices to eliminate the incentive for any group of bidders -- with the seller -- to renegotiate for a better deal. They help overcome the low-revenue issues of…