相关论文: Revenue Loss in Shrinking Markets

Robust mechanism design is a rising alternative to Bayesian mechanism design, which yields designs that do not rely on assumptions like full distributional knowledge. We apply this approach to mechanisms for selling a single item, assuming…

In this paper, I introduce a profit-maximizing centralized marketplace into a decentralized market with search frictions. Agents choose between the centralized marketplace and the decentralized bilateral trade. I characterize the optimal…

In many matching markets, one side "applies" to the other, and these applications are often expensive and time-consuming (e.g. students applying to college). It is tempting to think that making the application process easier should benefit…

We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked assets. This decomposition is general and consistent with…

Online resource allocation problems are central challenges in economics and computer science, modeling situations in which $n$ items arriving one at a time must each be immediately allocated among $m$ agents. In such problems, our objective…

This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…

We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…

Algorithmic monoculture arises when many decision-makers rely on the same algorithm to evaluate applicants. An emerging body of work investigates possible harms of this kind of homogeneity, but has been limited by the challenge of…

One of the recognized principal issues brought along by the steadfast migration towards power electronic interfaced energy sources is the loss of rotational inertia. In conventional power systems, the inertia of the synchronous machines…

A simple example shows that losing all money is compatible with a very high Sharpe ratio (as computed after losing all money). However, the only way that the Sharpe ratio can be high while losing money is that there is a period in which all…

Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified…

Two sellers compete to sell identical products to a single buyer. Each seller chooses an arbitrary mechanism, possibly involving lotteries, to sell their product. The utility-maximizing buyer can choose to participate in one or both…

Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…

We consider the problem of merchant storage participating in the regulation market with state-of-charge (SoC) dependent bids. Because storage can simultaneously provide regulation up and regulation down capacities, the market-clearing…

We study information disclosure in competitive markets with adverse selection. Sellers privately observe product quality, with higher quality entailing higher production costs, while buyers trade at the market-clearing price after observing…

A multiproduct seller is more informed than consumers about the value of her products to consumers. The seller posts a price list and segments the market through cheap-talk communication. We find that when both seller's and consumers'…

We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…

We study the competition for partners in two-sided matching markets with heterogeneous agent preferences, with a focus on how the equilibrium outcomes depend on the connectivity in the market. We model random partially connected markets,…

A multi-product monopolist faces a buyer who is privately informed about his valuations for the goods. As is well-known, optimal mechanisms are in general complicated, while simple mechanisms -- such as pure bundling or separate sales --…

We present a formula for the shrinkage factors of the Partial Least Squares regression estimator and deduce some of their properties, in particular the known fact that some of the factors are >1. We investigate the effect of shrinkage…