相关论文: Arbitrage-Free Combinatorial Market Making via Int…

We study a combinatorial market design problem, where a collection of indivisible objects is to be priced and sold to potential buyers subject to equilibrium constraints.The classic solution concept for such problems is Walrasian…

We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…

We consider the problem of selecting a portfolio of entries of fixed cardinality for contests with top-heavy payoff structures, i.e. most of the winnings go to the top-ranked entries. This framework is general and can be used to model a…

We present new results for the Frank-Wolfe method (also known as the conditional gradient method). We derive computational guarantees for arbitrary step-size sequences, which are then applied to various step-size rules, including simple…

We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty…

Probabilistic programs with dynamic computation graphs can define measures over sample spaces with unbounded dimensionality, which constitute programmatic analogues to Bayesian nonparametrics. Owing to the generality of this model class,…

We propose a novel generalization of the conditional gradient (CG / Frank-Wolfe) algorithm for minimizing a smooth function $f$ under an intersection of compact convex sets, using a first-order oracle for $\nabla f$ and linear minimization…

Computational advertising has been studied to design efficient marketing strategies that maximize the number of acquired customers. In an increased competitive market, however, a market leader (a leader) requires the acquisition of new…

Prediction markets are often used as mechanisms to aggregate information about a future event, for example, whether a candidate will win an election. The event is typically assumed to be exogenous. In reality, participants may influence the…

A prediction market is a useful means of aggregating information about a future event. To function, the market needs a trusted entity who will verify the true outcome in the end. Motivated by the recent introduction of decentralized…

In many areas of industry and society, e.g., energy, healthcare, logistics, agents collect vast amounts of data that they deem proprietary. These data owners extract predictive information of varying quality and relevance from data…

This paper proposes a new combinatorial auction framework for local energy flexibility markets, which addresses the issue of prosumers' inability to bundle multiple flexibility time intervals. To solve the underlying NP-complete winner…

Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on model assumption. In this study, we introduce an innovative…

We outline how to create a mechanism that provides an optimal way to elicit, from an arbitrary group of experts, the probability of the truth of an arbitrary logical proposition together with collective information that has an explicit form…

This work builds on the theoretical frameworks presented in "Liquidity pools as mean field games: A new framework" and "Liquidity pools as mean field games with transaction costs" by the same author, where the strategic interactions among…

We consider a general class of combinatorial optimization problems including among others allocation, multiple knapsack, matching or travelling salesman problems. The standard version of those problems is the maximum weight optimization…

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…

Contract theory studies how a principal can incentivize agents to exert costly, unobservable effort through performance-based payments. While classical economic models provide elegant characterizations of optimal solutions, modern…

The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…

We study the computation of competitive equilibrium for Fisher markets with $n$ agents and $m$ divisible chores. Competitive equilibria for chores are known to correspond to the nonzero KKT points of a program that minimizes the product of…