相关论文: Strategic bidding via the interplay of minimum inc…

An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general…

We consider job scheduling settings, with multiple machines, where jobs arrive online and choose a machine selfishly so as to minimize their cost. Our objective is the classic makespan minimization objective, which corresponds to the…

We consider an environment where sellers compete over buyers. All sellers are a-priori identical and strategically signal buyers about the product they sell. In a setting motivated by on-line advertising in display ad exchanges, where firms…

Market making refers to a form of trading in financial markets characterized by passive orders which add liquidity to limit order books. Market makers are important for the proper functioning of financial markets worldwide. Given the…

Networked public goods games model scenarios in which self-interested agents decide whether or how much to invest in an action that benefits not only themselves, but also their network neighbors. Examples include vaccination, security…

Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…

This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…

This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of…

Uncertainties in renewable generation and demand dynamics challenge day-ahead scheduling. To enhance renewable penetration and maintain intra-day balance, we develop a multi-agent reinforcement learning framework for self-interested…

The evolution of smart microgrid and its demand-response characteristics not only will change the paradigms of the century-old electric grid but also will shape the electricity market. In this new market scenario, once always energy…

We address the problem of improving bidders' strategies in prior-dependent revenue-maximizing auctions and introduce a simple and generic method to design novel bidding strategies if the seller uses past bids to optimize her mechanism. We…

This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a…

We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…

We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…

We consider the problem of designing auctions which maximize consumer surplus (i.e., the social welfare minus the payments charged to the buyers). In the consumer surplus maximization problem, a seller with a set of goods faces a set of…

A coordinated trading process is proposed as a design for an electricity market with significant uncertainty, perhaps from renewables. In this process, groups of agents propose to the system operator (SO) a contingent buy and sell trade…

While consolidation strategies form the backbone of many supply chain optimisation problems, exploitation of multi-tier material relationships through consolidation remains an understudied area, despite being a prominent feature of…

In many shopping scenarios, e.g., in online shopping, customers have a large menu of options to choose from. However, most of the buyers do not browse all the options and make decision after considering only a small part of the menu. To…

We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…

In this work we consider selling items using a sequential first price auction mechanism. We generalize the assumption of conservative bidding to extensive form games (henceforth optimistic conservative bidding), and show that for both…