相关论文: Revenue Loss in Shrinking Markets

We present analytic and numerical results for two models, namely the minority model and the bar-attendance model, which offer simple paradigms for a competitive marketplace. Both models feature heterogeneous agents with bounded rationality…

We consider the well known, and notoriously difficult, problem of a single revenue-maximizing seller selling two or more heterogeneous goods to a single buyer whose private values for the goods are drawn from a (possibly correlated) known…

We consider a revenue optimizing seller selling a single item to a buyer, on whose private value the seller has a noisy signal. We show that, when the signal is kept private, arbitrarily more revenue could potentially be extracted than if…

We study large markets with a single seller which can produce many types of goods, and many multi-minded buyers. The seller chooses posted prices for its many items, and the buyers purchase bundles to maximize their utility. For this…

We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…

A new generalized ridge regression shrinkage path is proposed that is as short as possible under the restriction that it must pass through the vector of regression coefficient estimators that make the overall Optimal Variance-Bias Trade-Off…

There has been much recent work on the revenue-raising properties of truthful mechanisms for selling goods to selfish bidders. Typically the revenue of a mechanism is compared against a benchmark (such as, the maximum revenue obtainable by…

Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and…

Although machine learning tasks are highly sensitive to the quality of input data, relevant datasets can often be challenging for firms to acquire, especially when held privately by a variety of owners. For instance, if these owners are…

The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…

We consider the problem of maximizing revenue when selling k items to a single buyer with known valuation distributions. We show that for a single, additive buyer whose valuations for for the items are distributed according to i.i.d.…

In a dynamic matching market, such as a marriage or job market, how should agents balance accepting a proposed match with the cost of continuing their search? We consider this problem in a discrete setting, in which agents have cardinal…

Consider estimating the n by p matrix of means of an n by p matrix of independent normally distributed observations with constant variance, where the performance of an estimator is judged using a p by p matrix quadratic error loss function.…

We consider a sequential decision-making setting where, at every round $t$, a market maker posts a bid price $B_t$ and an ask price $A_t$ to an incoming trader (the taker) with a private valuation for one unit of some asset. If the trader's…

Each market has its singular characteristic. Its inner structure is directly responsible for the observed distributions of returns though this fact is widely overlooked. Big orders lead to doubling the tails. The behavior of a market maker…

We give a detailed characterization of optimal trades under budget constraints in a prediction market with a cost-function-based automated market maker. We study how the budget constraints of individual traders affect their ability to…

We study robust mechanisms to sell a common-value good. We assume that the mechanism designer knows the prior distribution of the buyers' common value but is unsure of the buyers' information structure about the common value. We use linear…

Incorporating fairness criteria in optimization problems comes at a certain cost, which is measured by the so-called price of fairness. Here we consider the allocation of indivisible goods. For envy-freeness as fairness criterion it is…

This paper aims to investigate and achieve seller-side fairness within online marketplaces, where many sellers and their items are not sufficiently exposed to customers in an e-commerce platform. This phenomenon raises concerns regarding…

We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework,…