相关论文: Market Equilibrium with Transaction Costs

Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…

We develop a simple yet efficient Lagrangian method for computing equilibrium prices in a mean-field game price-formation model. We prove that equilibrium prices are optimal in terms of a suitable criterion and derive a primal-dual…

A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless…

We consider a game where a finite number of retailers choose a location, given that their potential consumers are distributed on a network. Retailers do not compete on price but only on location, therefore each consumer shops at the closest…

We study a recommendation system where sellers compete for visibility by strategically offering commissions to a platform that optimally curates a ranked menu of items and their respective prices for each customer. Customers interact…

The canonical price-adjustment process, t\^atonnement, typically fails to converge to the exact competitive equilibrium (CE) and requires a high iteration complexity of $\tilde{\mathcal{O}}(1/\epsilon)$ to compute $\epsilon$-CE prices in…

In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…

Randomized mechanisms, which map a set of bids to a probability distribution over outcomes rather than a single outcome, are an important but ill-understood area of computational mechanism design. We investigate the role of randomized…

This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…

Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…

We study the complexity of computing Bayes-Nash equilibria in single-item first-price auctions. We present the first efficient algorithms for the problem, when the bidders' values for the item are independently drawn from the same…

Given a batch of human computation tasks, a commonly ignored aspect is how the price (i.e., the reward paid to human workers) of these tasks must be set or varied in order to meet latency or cost constraints. Often, the price is set…

We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…

We consider a setting where $n$ buyers, with combinatorial preferences over $m$ items, and a seller, running a priority-based allocation mechanism, repeatedly interact. Our goal, from observing limited information about the results of these…

Fisher markets are one of the most fundamental models for resource allocation. However, the problem of computing equilibrium prices in Fisher markets typically relies on complete knowledge of users' budgets and utility functions and…

This paper unifies two foundational constructs from economics and algorithmic game theory, the Arctic Auction and the linear Fisher market, to address the efficient allocation of differentiated goods in complex markets. Our main…

We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…

We consider the problem of computing a (pure) Bayes-Nash equilibrium in the first-price auction with continuous value distributions and discrete bidding space. We prove that when bidders have independent subjective prior beliefs about the…

Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…

We study how loyalty behavior of customers and differing costs to produce undifferentiated products by firms can influence market outcomes. In prior works that study such markets, firm costs have generally been assumed negligible or equal,…