Related papers: Bid distributions of competing agents in simple mo…
We study multi-unit auctions in which bidders have limited knowledge of opponent strategies and values. We characterize optimal prior-free bids; these bids minimize the maximal loss in expected utility resulting from uncertainty surrounding…
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a…
In this paper, we present a simple stock market model (the market game) which incorporates, as ab initio dynamics delayed majority dynamics, according to which agents (with heterogeneous strategies and price expectations) are rewarded if…
We initiate the study of how auction design affects the division of surplus among buyers. We propose a parsimonious measure for equity and apply it to the family of standard auctions for homogeneous goods. Our surplus-equitable mechanism is…
In an all-pay auction, only one bidder wins but all bidders must pay the auctioneer. All-pay bidding games arise from attaching a similar bidding structure to traditional combinatorial games to determine which player moves next. In contrast…
Traditionally, the Bayesian optimal auction design problem has been considered either when the bidder values are i.i.d., or when each bidder is individually identifiable via her value distribution. The latter is a reasonable approach when…
We study a spatially homogeneous model of a market where several agents or companies compete for a wealth resource. In analogy with ecological systems the simplest case of such models shows a kind of "competitive exclusion" principle.…
We establish a general optimization framework for the design of automated bidding agent in dynamic online marketplaces. It optimizes solely for the buyer's interest and is agnostic to the auction mechanism imposed by the seller. As a…
A population of heterogenous agents compeeting through a minority rule is investigated. Agents which frequently loose are selected for evolution by changing their strategies. The stationary composition of the population resulting for this…
We consider the problem of the optimization of bidding strategies in prior-dependent revenue-maximizing auctions, when the seller fixes the reserve prices based on the bid distributions. Our study is done in the setting where one bidder is…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
Polling systems with losses are useful mathematical objects that can model many practical systems like travelling salesman problem with recurrent requests. One of the less studied yet an important aspect in such systems is the disparity in…
In a prediction market, individuals can sequentially place bets on the outcome of a future event. This leaves a trail of personal probabilities for the event, each being conditional on the current individual's private background knowledge…
This paper gives a theoretical model for design and analysis of mechanisms for online marketplaces where a bidding dashboard enables the bid-optimization of long-lived agents. We assume that a good allocation algorithm exists when given the…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
This paper examines equilibria in dynamic two-sided matching games, extending Gale and Shapley's foundational model to a non-cooperative, decentralized, and dynamic framework. We focus on markets where agents have utility functions and…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
This paper studies dynamic monopoly pricing for a broad class of settings that allow for multiple durable, multiple rental, or a mix of varieties. We show that the driving force behind pricing dynamics is the existence of trading-up…