Related papers: Statistical theory of the continuous double auctio…

Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…

Motivated by applications such as cloud computing, gig platforms, and blockchain auctions, we study optimal selling mechanisms for dynamic markets with stochastic supply and demand. In our model, buyers with private valuations and…

Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improvements in the description of the price dynamics which can be…

Cloud computing has been an emerging model which aims at allowing customers to utilize computing resources hosted by Cloud Service Providers (CSPs). More and more consumers rely on CSPs to supply computing and storage service on the one…

Auctions are modeled as Bayesian games with continuous type and action spaces. Determining equilibria in auction games is computationally hard in general and no exact solution theory is known. We introduce an algorithmic framework in which…

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…

In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

Nowadays, machine learning methods have been widely used in stock prediction. Traditional approaches assume an identical data distribution, under which a learned model on the training data is fixed and applied directly in the test data.…

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…

Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…

We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…

In standard Walrasian auctions, the price of a good is defined as the point where the supply and demand curves intersect. Since both curves are generically regular, the response to small perturbations is linearly small. However, a crucial…

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…

We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…

In mechanism design, it is challenging to design the optimal auction with correlated values in general settings. Although value distribution can be further exploited to improve revenue, the complex correlation structure makes it hard to…

In this paper, we study online double auctions, where multiple sellers and multiple buyers arrive and depart dynamically to exchange one commodity. We show that there is no deterministic online double auction that is truthful and…

Double Auction enables decentralized transfer of goods between multiple buyers and sellers, thus underpinning functioning of many online marketplaces. Buyers and sellers compete in these markets through bidding, but do not often know their…

A single unit of a good is sold to one of two bidders. Each bidder has either a high prior valuation or a low prior valuation for the good. Their prior valuations are independently and identically distributed. Each bidder may observe an…

The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…