相关论文: The Design and Regulation of Exchanges: A Formal A…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
This paper studies mechanism design for auctions with externalities on budgets, a novel setting where the budgets that bidders commit are adjusted due to the externality of the competitors' allocation outcomes-a departure from traditional…
We study the bilateral trade problem: one seller, one buyer and a single, indivisible item for sale. It is well known that there is no fully-efficient and incentive compatible mechanism for this problem that maintains a balanced budget. We…
We develop a general duality-theory framework for revenue maximization in additive Bayesian auctions. The framework extends linear programming duality and complementarity to constraints with partial derivatives. The dual system reveals the…
In digital goods auctions, there is an auctioneer who sells an item with unlimited supply to a set of potential buyers, and the objective is to design truthful auction to maximize the total profit of the auctioneer. Motivated from an…
We propose a methodology for verifying security properties of network protocols at design level. It can be separated in two main parts: context and requirements analysis and informal verification; and formal representation and procedural…
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
It has become the default in markets such as ad auctions for participants to bid in an auction through automated bidding agents (autobidders) which adjust bids over time to satisfy return-over-spend constraints. Despite the prominence of…
While historically, economists have been primarily occupied with analyzing the behaviour of the markets, electronic trading gave rise to a new class of unprecedented problems associated with market fairness, transparency and manipulation.…
We present an original theorem in auction theory: it specifies general conditions under which the sum of the payments of all bidders is necessarily not identically zero, and more generally not constant. Moreover, it explicitly supplies a…
A classical trading experiment consists of a set of unit demand buyers and unit supply sellers with identical items. Each agent's value or opportunity cost for the item is their private information and preferences are quasi-linear. Trade…
This letter considers the design of an auction mechanism to sell the object of a seller when the buyers quantize their private value estimates regarding the object prior to communicating them to the seller. The designed auction mechanism…
The difference set of an outcome in an auction is the set of types that the auction mechanism maps to the outcome. We give a complete characterization of the geometry of the difference sets that can appear for a dominant strategy incentive…
I study a repeated auction in which payments are made with a blockchain token created and initially owned by the auction designer. Unlike the ``virtual money'' previously examined in mechanism design, such tokens can be saved and traded…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments…
We provide a constructive proof of Border's theorem [Bor91, HR15a] and its generalization to reduced-form auctions with asymmetric bidders [Bor07, MV10, CKM13]. Given a reduced form, we identify a subset of Border constraints that are…
This paper suggests a [email protected] of composable specification of concurrent programs that permits: (1) verification of program code for a given specification, and (2) composition of the specifications of the components to yield…