相关论文: Parimutuel Betting on Permutations

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 consider game-theoretically secure distributed protocols for coalition games that approximate the Shapley value with small multiplicative error. Since all known existing approximation algorithms for the Shapley value are randomized, it…

We give new bounds for the single-nomination model of impartial selection, a problem proposed by Holzman and Moulin (Econometrica, 2013). A selection mechanism, which may be randomized, selects one individual from a group of $n$ based on…

In the multi-unit pricing problem, multiple units of a single item are for sale. A buyer's valuation for $n$ units of the item is $v \min \{ n, d\} $, where the per unit valuation $v$ and the capacity $d$ are private information of the…

We focus on online second price auctions, where bids are made sequentially, and the winning bidder pays the maximum of the second-highest bid and a seller specified starting price. For many such auctions, the seller does not see all the…

In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…

Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…

Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follow some jump-diffusion processes. In this paper, we propose a…

We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…

We study an online version of the max-min fair allocation problem for indivisible items. In this problem, items arrive one by one, and each item must be allocated irrevocably on arrival to one of $n$ agents, who have additive valuations for…

How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at the expense of the latter. To approach this problem, we begin…

We introduce a game on graphs. By a theorem of Zermelo, each instance of the game on a finite graph is determined. While the general decision problem on which player has a winning strategy in a given instance of the game is unsolved, we…

This paper addresses the challenges of pricing exotic options and structured products, which traditional models often fail to handle due to their inability to capture real-world market phenomena like fat-tailed distributions and volatility…

The exchange of rebates for formulary positions is conceptualized as a multi-round combinatorial position auction. This paper develops a linear assignment model of the winners' determination equation of this auction where the bases are net…

In this paper, we present a new model and two mechanisms for auctions in two-sided markets of buyers and sellers, where budget constraints are imposed on buyers. Our model incorporates polymatroidal environments, and is applicable to a wide…

We study the problem of computing maximin share guarantees, a recently introduced fairness notion. Given a set of $n$ agents and a set of goods, the maximin share of a single agent is the best that she can guarantee to herself, if she would…

The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal non-asymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

A market-maker-based prediction market lets forecasters aggregate information by editing a consensus probability distribution either directly or by trading securities that pay off contingent on an event of interest. Combinatorial prediction…

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…