Related papers: An `Inverse' Experimental Framework to Estimate Ma…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
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…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…
Market making is one of the most important aspects of algorithmic trading, and it has been studied quite extensively from a theoretical point of view. The practical implementation of so-called "optimal strategies" however suffers from the…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
Double auctions are widely used in financial markets, such as those for stocks, derivatives, currencies, and commodities, to match demand and supply. Once all buyers and sellers have placed their trade requests, the exchange determines how…
In this work we investigate the inefficiency of the electricity system with strategic agents. Specifically, we prove that without a proper control the total demand of an inefficient system is at most twice the total demand of the optimal…
Large-scale online recommendation systems must facilitate the allocation of a limited number of items among competing users while learning their preferences from user feedback. As a principled way of incorporating market constraints and…
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of…
With the recent technological feasibility of electronic commerce over the Internet, much attention has been given to the design of electronic markets for various types of electronically-tradable goods. Such markets, however, will normally…
While marketing budget allocation has been studied for decades in traditional business, nowadays online business brings much more challenges due to the dynamic environment and complex decision-making process. In this paper, we present a…
We present a practical, market-based solution to the resource provisioning problem in a set of heterogeneous resource clusters. We focus on provisioning rather than immediate scheduling decisions to allow users to change long-term job…
We study an online market-making problem in which a learner sequentially posts bid and ask prices for a single asset while interacting with traders holding private valuations. Unlike existing online learning formulations that assume fully…
Black-box optimization is often encountered for decision-making in complex systems management, where the knowledge of system is limited. Under these circumstances, it is essential to balance the utilization of new information with…
The $\textit{data market design}$ problem is a problem in economic theory to find a set of signaling schemes (statistical experiments) to maximize expected revenue to the information seller, where each experiment reveals some of the…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Algorithms increasingly automate bidding in online auctions, raising concerns about tacit bid suppression and revenue shortfalls. Prior work identifies individual mechanisms behind algorithmic bid suppression, but it remains unclear which…
We study resource allocation in two-sided markets from a fundamental perspective and introduce a general modeling and algorithmic framework to effectively incorporate the complex and multidimensional aspects of fairness. Our main technical…