相关论文: Statistical Inference and A/B Testing for First-Pr…

In non-truthful auctions such as first-price and all-pay auctions, the independent strategic behaviors of bidders, with the corresponding Bayes-Nash equilibrium notion, are notoriously difficult to characterize and can cause undesirable…

We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the…

In today's online advertising markets, it is common for advertisers to set long-term budgets. Correspondingly, advertising platforms adopt budget control methods to ensure that advertisers' payments lie within their budgets. Most budget…

The transition to First-Price Auctions (FPA) in digital advertising has spurred significant research, yet existing work typically assumes access to a valuation oracle, ignoring the reality that values must be inferred from censored data.…

We study independent private values auction environments in which the auctioneer's revenue depends nonlinearly on bidders' interim winning probabilities. Our framework accommodates heterogeneity among bidders and places no ad hoc…

Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…

In this paper, we design and implement an experiment aimed at testing the level-k model of auctions. We begin by asking which (simple) environments can best disentangle the level-k model from its leading rival, Bayes-Nash equilibrium. We…

We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…

We study the complexity of finding an approximate (pure) Bayesian Nash equilibrium in a first-price auction with common priors when the tie-breaking rule is part of the input. We show that the problem is PPAD-complete even when the…

We study the aggregate welfare and individual regret guarantees of dynamic \emph{pacing algorithms} in the context of repeated auctions with budgets. Such algorithms are commonly used as bidding agents in Internet advertising platforms,…

The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets. Our journey through this area stops to take closer looks at…

In a classical model of the first-price sealed-bid auction with independent private values, we develop nonparametric estimators for several policy-relevant targets, such as the bidder's surplus and auctioneer's revenue under counterfactual…

Mean-field limits have been used now as a standard tool in approximations, including for networks with a large number of nodes. Statistical inference on mean-filed models has attracted more attention recently mainly due to the rapid…

We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…

We study the limits of an information intermediary in the classical Bayesian auction, where a revenue-maximizing seller sells one item to $n$ buyers with independent private values. In addition, we have an intermediary who knows the buyers'…

In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…

We propose a new nonparametric estimator for first-price auctions with independent private values that imposes the monotonicity constraint on the estimated inverse bidding strategy. We show that our estimator has a smaller asymptotic…

We advance empirical equilibrium analysis (Velez and Brown, 2020, arXiv:1907.12408) of the winner-bid and loser-bid auctions for the dissolution of a partnership. We show, in a complete information environment, that even though these…

Fisher markets are those where buyers with budgets compete for scarce items, a natural model for many real world markets including online advertising. A market equilibrium is a set of prices and allocations of items such that supply meets…

The paper proposes a quantile-regression inference framework for first-price auctions with symmetric risk-neutral bidders under the independent private-value paradigm. It is first shown that a private-value quantile regression generates a…