相关论文: Optimal Auction Design for Dynamic Stochastic Envi…

Mechanism design, a branch of economics, aims to design rules that can autonomously achieve desired outcomes in resource allocation and public decision making. The research on mechanism design using machine learning is called automated…

Many economic transactions, including those of online markets, have a time lag between the start and end times of transactions. Customers need to wait for completion of their transaction (order fulfillment) and hence are also interested in…

We study the design of decision-making mechanism for resource allocations over a multi-agent system in a dynamic environment. Agents' privately observed preference over resources evolves over time and the population is dynamic due to the…

In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…

Blockchain protocols often seek to procure computationally challenging work from a decentralized set of participants. While there are simple procurement auctions that result in the minimal cost of acquisition and maximal efficiency, they…

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…

Dynamic pricing is commonly used to regulate congestion in shared service systems. This paper is motivated by the fact that in the presence of users with varying price sensitivity (responsiveness), conventional monotonic pricing can lead to…

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…

We propose and study a novel mechanism design setup where each bidder holds two kinds of private information: (1) type variable, which can be misreported; (2) information variable, which the bidder may want to conceal or partially reveal,…

We study the optimal behavior of a bidder in a real-time auction subject to the requirement that a specified collections of heterogeneous items be acquired within given time constraints. The problem facing this bidder is cast as a…

In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…

In this study, we apply reinforcement learning techniques and propose what we call reinforcement mechanism design to tackle the dynamic pricing problem in sponsored search auctions. In contrast to previous game-theoretical approaches that…

This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…

Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…

We efficiently solve the optimal multi-dimensional mechanism design problem for independent bidders with arbitrary demand constraints when either the number of bidders is a constant or the number of items is a constant. In the first…

We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…

This paper studies the dynamic pricing mechanism for data products in demand-driven markets through a game-theoretic framework. We develop a three-tier Stackelberg game model to capture the hierarchical strategic interactions among key…

The design of revenue-maximizing combinatorial auctions, i.e. multi-item auctions over bundles of goods, is one of the most fundamental problems in computational economics, unsolved even for two bidders and two items for sale. In the…

Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…

Important pricing problems in centralized matching markets -- such as carpooling, food delivery and freight shipping platforms -- often exhibit a bi-level structure. At the upper level, the platform sets prices for heterogeneous demand…