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Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal…
The cross-blockchain transaction remains one of the most challenging problems in blockchains. The root cause of the challenge lies in the nondeterministic nature of blockchains: A $n$-party transaction across multiple blockchains might be…
We study multi-type housing markets, where there are $p\ge 2$ types of items, each agent is initially endowed one item of each type, and the goal is to design mechanisms without monetary transfer to (re)allocate items to the agents based on…
Cloud-aided mobile edge networks (CAMENs) allow edge servers (ESs) to purchase resources from remote cloud servers (CSs), while overcoming resource shortage when handling computation-intensive tasks of mobile users (MUs). Conventional…
We study gains from trade in multi-dimensional two-sided markets. Specifically, we focus on a setting with $n$ heterogeneous items, where each item is owned by a different seller $i$, and there is a constrained-additive buyer with…
Tie-line scheduling in multi-area power systems in the US largely proceeds through a market-based mechanism called Coordinated Transaction Scheduling (CTS). We analyze this market mechanism through a game-theoretic lens. Our analysis…
Electricity markets typically operate in two stages, day-ahead and real-time. Despite best efforts striving efficiency, evidence of price manipulation has called for system-level market power mitigation (MPM) initiatives that substitute…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
In the context of energy market clearing, non-merchant assets are assets that do not submit bids but whose operational constraints are included. Integrating energy storage systems as non-merchant assets can maximize social welfare. However,…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
This paper studies a house allocation problem in a networked housing market, where agents can invite others to join the system in order to enrich their options. Top Trading Cycle is a well-known matching mechanism that achieves a set of…
Consider a trade market with one seller and multiple buyers. The seller aims to sell an indivisible item and maximize their revenue. This paper focuses on a simple and popular mechanism--the fixed-price mechanism. Unlike the standard…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
We consider reallocation problems in settings where the initial endowment of each agent consists of a subset of the resources. The private information of the players is their value for every possible subset of the resources. The goal is to…
We consider mechanisms for markets that are double-sided and have players with multi-dimensional strategic spaces on at least one side. The players of the market are strategic, and act to optimize their own utilities. The mechanism…
Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of…
Exchange markets are a significant type of market economy, in which each agent holds a budget and certain (divisible) resources available for trading. Most research on equilibrium in exchange economies is based on an environment of…
An option is a financial agreement between two parties to trade two assets. One party is given the right, but not the obligation, to complete the swap before a specified termination time. In todays financial markets, an option is considered…