相关论文: Strategic behaviour and indicative price diffusion…

Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup around the indicative price. This, in…

Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…

We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the…

Using high-quality data, we report several statistical regularities of equity auctions in the Paris stock exchange. First, the average order book density is linear around the auction price at the time of auction clearing and has a large…

We analyze the French housing market prices in the period 1970-2022, with high-resolution data from 2018 to 2022. The spatial correlation of the observed price field exhibits logarithmic decay characteristic of the two-dimensional random…

Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…

In recent years, a new branch of auction models called diffusion auction has extended the traditional auction into social network scenarios. The diffusion auction models the auction as a networked market whose nodes are potential customers…

Diffusion auction is a new model in auction design. It can incentivize the buyers who have already joined in the auction to further diffuse the sale information to others via social relations, whereby both the seller's revenue and the…

Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…

In diffusion auctions, sellers can leverage an underlying social network to broaden participation, thereby increasing their potential revenue. Specifically, sellers can incentivise participants in their auction to diffuse information about…

Diffusion auction design is a new trend in mechanism design for which the main goal is to incentivize existing buyers to invite new buyers, who are their neighbors on a social network, to join an auction even though they are competitors.…

We characterize the statistical properties of a large number of online auctions run on eBay. Both stationary and dynamic properties, like distributions of prices, number of bids etc., as well as relations between these quantities are…

High-stakes auctions are often preceded by nonbinding communication between bidders and the seller. Motivated by these practices, this paper examines a two-period model in which two bidders send private cheap talk messages to the seller…

Auction is the common paradigm for resource allocation which is a fundamental problem in human society. Existing research indicates that the two primary objectives, the seller's revenue and the allocation efficiency, are generally…

Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…

We design a fixed-price auction mechanism for a seller to sell multiple items in a tree-structured market. The buyers have independently drawn valuation from a uniform distribution, and the seller would like to incentivize buyers to invite…

Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

Diffusion auction refers to an emerging paradigm of online marketplace where an auctioneer utilises a social network to attract potential buyers. Diffusion auction poses significant privacy risks. From the auction outcome, it is possible to…