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Proportional dynamics, originated from peer-to-peer file sharing systems, models a decentralized price-learning process in Fisher markets. Previously, items in the dynamics operate independently of one another, and each is assumed to belong…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
The standard framework of online bidding algorithm design assumes that the seller commits himself to faithfully implementing the rules of the adopted auction. However, the seller may attempt to cheat in execution to increase his revenue if…
I study a repeated auction in which payments are made with a blockchain token created and initially owned by the auction designer. Unlike the ``virtual money'' previously examined in mechanism design, such tokens can be saved and traded…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
Milionis et al.(2023) studied the rate at which automated market makers leak value to arbitrageurs when block times are discrete and follow a Poisson process, and where the risky asset price follows a geometric Brownian motion. We extend…
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,…
The auction theory literature has so far focused mostly on the design of mechanisms that takes the revenue or the efficiency as a yardstick. However, scenarios where the {\it capacity}, which we define as \textit{``the number of bidders the…
Recent advances in Fourier analysis have brought new tools to efficiently represent and learn set functions. In this paper, we bring the power of Fourier analysis to the design of combinatorial auctions (CAs). The key idea is to approximate…
We experimentally evaluate the comparative performance of the winner-bid, average-bid, and loser-bid auctions for the dissolution of a partnership. The analysis of these auctions based on the empirical equilibrium refinement of Velez and…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…
We show an auction-based algorithm to compute market equilibrium prices in a production model, where consumers purchase items under separable nonlinear utility concave functions which satisfy W.G.S(Weak Gross Substitutes); producers produce…
We consider a setting in which bidders participate in multiple auctions run by different sellers, and optimize their bids for the \emph{aggregate} auction. We analyze this setting by formulating a game between sellers, where a seller's…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
Statistical and dynamical characters of stock markets have been extensively studied, which now is providing the firm basis for econophysics and its application as ``stylized facts''. However, most of those studies are for markets under the…
Auto-bidding is an area of increasing importance in the domain of online advertising. We study the problem of designing auctions in an auto-bidding setting with the goal of maximizing welfare at system equilibrium. Previous results showed…
Throttling is a popular method of budget management for online ad auctions in which the platform modulates the participation probability of an advertiser in order to smoothly spend her budget across many auctions. In this work, we…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
In first-price auctions for display advertising, exchanges typically communicate the "minimum-bid-to-win" to bidders after the auction as feedback for their bidding algorithms. For a winner, this is the second-highest bid, while for losing…
We consider online procurement auctions, where the agents arrive sequentially, in random order, and have private costs for their services. The buyer aims to maximize a monotone submodular value function for the subset of agents whose…