相关论文: Zero Intelligence Models of the Continuous Double …
A unit volume zero intelligence (ZI) model is defined and the distribution of its L1 process is recursively described. Further, a generalized ZI (GZI) model allowing non-unit market orders, shifts of quotes and general in-spread events is…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
Devising models of the limit order book that realistically reproduce the market response to exogenous trades is extremely challenging and fundamental in order to test trading strategies. We propose a novel explainable model for small tick…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…
Motivated by online advertising auctions, we study auction design in repeated auctions played by simple Artificial Intelligence algorithms (Q-learning). We find that first-price auctions with no additional feedback lead to tacit-collusive…
Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the…
We study whether large language models acting as autonomous bidders can tacitly collude by coordinating when to accept platform posted payouts in repeated Dutch auctions, without any communication. We present a minimal repeated auction…
Research on limit order book markets has been rapidly growing and nowadays high-frequency full order book data is widely available for researchers and practitioners. However, it is common that research papers use the best level data only,…
In a sequential auction with multiple bidding agents, it is highly challenging to determine the ordering of the items to sell in order to maximize the revenue due to the fact that the autonomy and private information of the agents heavily…
We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the…
Facing the current debate on whether Large Language Models (LLMs) attain near-human intelligence levels (Mitchell & Krakauer, 2023; Bubeck et al., 2023; Kosinski, 2023; Shiffrin & Mitchell, 2023; Ullman, 2023), the current study introduces…
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…
Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this…
The tatonnement process in high frequency order driven markets is modeled as a search by buyers for sellers and vice-versa. We propose a total order book model, comprising limit orders and latent orders, in the absence of a market maker. A…
Continuous double auctions such as the limit order book employed by exchanges are widely used in practice to match buyers and sellers of a variety of financial instruments. In this work, we develop an agent-based model for trading in a…
Auctions are becoming an increasingly popular method for transacting business, especially over the Internet. This article presents a general approach to building autonomous bidding agents to bid in multiple simultaneous auctions for…
Algorithms increasingly automate bidding in online auctions, raising concerns about tacit bid suppression and revenue shortfalls. Prior work identifies individual mechanisms behind algorithmic bid suppression, but it remains unclear which…
Auctions are important mechanisms extensively implemented in various markets, e.g., search engines' keyword auctions, antique auctions, etc. Finding an optimal auction mechanism is extremely difficult due to the constraints of imperfect…
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which…