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作者：Birge, John R.; Feng, Yifan; Keskin, N. Bora; Schultz, Adam
作者单位：University of Chicago; National University of Singapore; Duke University; Uber Technologies, Inc.
摘要：We study the profit-maximization problem of a market maker in a spread betting market. In this market, the market maker quotes cutoff lines for the outcome of a certain future event as prices, and bettors bet on whether the event outcome exceeds the cutoff lines. Anonymous bettors with heterogeneous strategic behavior and information levels participate in the market. The market maker has limited information on the event outcome distribution, aiming to extract information from the market (i.e.,...
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作者：Allon, Gad; Drakopoulos, Kimon; Manshadi, Vahideh
作者单位：University of Pennsylvania; University of Southern California; Yale University
摘要：In this paper, we study a model of information consumption in which consumers sequentially interact with a platform that offers a menu of signals (posts) about an underlying state of the world (fact). At each time, incapable of consuming all posts, consumers screen the posts and only select (and consume) one from the offered menu. We show that, in the presence of uncertainty about the accuracy of these posts and as the number of posts increases, adverse effects, such as slow learning and polar...
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作者：Beyhaghi, Hedyeh; Golrezaei, Negin; Leme, Renato Paes; Pai, Martin; Sivan, Balasubramanian
作者单位：Toyota Technological Institute - Chicago; Massachusetts Institute of Technology (MIT); Alphabet Inc.; Google Incorporated
摘要：We study revenue maximization through sequential posted-price (SPP) mechanisms in single-dimensional settings with n buyers and independent but not necessarily identical value distributions. We construct the SPP mechanisms by considering the best of two simple pricing rules: one that imitates the revenue optimal mechanism, namely, the Myersonian mechanism, via the taxation principle and the other that posts a uniform price. Our pricing rules are rather generalizable and yield the first improve...
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作者：Balseiro, Santiago R.; Kim, Anthony; Russo, Daniel
作者单位：Columbia University; Amazon.com
摘要：We consider a principal who repeatedly interacts with a strategic agent holding private information. In each round, the agent observes an idiosyncratic shock drawn independently and identically from a distribution known to the agent but not to the principal. The utilities of the principal and the agent are determined by the values of the shock and outcomes that are chosen by the principal based on reports made by the agent. When the principal commits to a dynamic mechanism, the agent best-resp...
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作者：Liu, Yan; Sun, Yacheng; Zhang, Dan
作者单位：Hong Kong Polytechnic University; Tsinghua University; University of Colorado System; University of Colorado Boulder
摘要：We study the effects of redemption hurdles on reward program members' decision making and firm profitability. We focus on the popular Buy X, Get One Free (BXGO) programs, which set a redemption threshold (X) and possibly, an expiration term for the reward. In our model, forward-looking consumers interact with a monopolistic firm and strategically make purchase and redemption decisions over an infinite time horizon. Our analysis leads to the following results. First, a consumer's purchase utili...
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作者：Jusselin, Paul; Mastrolia, Thibaut; Rosenbaum, Mathieu
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique
摘要：We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the price maximizing the exchanged volume at the clearing time according to the supply and demand of each market participant. Then we derive in a semiexplicit form the error made between this clearing price and the efficient price as a function of the auction duration. We study the impact of the behavio...
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作者：Zhang, Wen; Chen, Qi (George); Katok, Elena
作者单位：Baylor University; University of London; London Business School; University of Texas System; University of Texas Dallas
摘要：This paper considers a resourcing setting in which a qualified supplier (the incumbent) and multiple suppliers that have not yet been qualified (the entrants) compete in an open-bid descending auction for a single-supplier contract. Because of the risk of supplier nonperformance, the buyer only awards the contract to a qualified supplier; meanwhile, the buyer can conduct supplier qualification screening at a cost to verify whether the entrant suppliers can perform the contract. Conventionally,...
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作者：McLennan-Smith, Timothy A.; Kalloniatis, Alexander C.; Jovanoski, Zlatko; Sidhu, Harvinder S.; Roberts, Dale O.; Watt, Simon; Towers, Isaac N.
作者单位：University of New South Wales Sydney; Defence Science & Technology; Australian National University
摘要：Traditional combat models, such as Lanchester's equations, are typically limited to two competing populations and exhibit solutions characterized by exponential decay-and growth if logistics are included. We enrich such models to account for modern and future complexities, particularly around the role of interagency engagement in operations as often displayed in counterinsurgency operations. To address this, we explore incorporation of nontrophic effects from ecological modeling. This provides...
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作者：Cao, Zhigang; Chen, Bo; Chen, Xujin; Wang, Changjun
作者单位：Beijing Jiaotong University; University of Warwick; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; Beijing University of Technology
摘要：We propose a game model for selfish routing of atomic agents, who compete for use of a network to travel from their origins to a common destination as quickly as possible. We follow a frequently used rule that the latency an agent experiences on each edge is a constant transit time plus a variable waiting time in a queue. A key feature that differentiates our model from related ones is an edge-based tie-breaking rule for prioritizing agents in queueing when they reach an edge at the same time....
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作者：D'Errico, Marco; Roukny, Tarik
作者单位：European Central Bank
摘要：Over-the-counter markets are at the center of the global reform of the financial system. We show how the size and structure of these markets can undergo rapid and extensive changes when participants engage in portfolio compression, which is an optimization technology that exploits multilateral netting opportunities. We find that tightly knit and concentrated trading structures, as featured by many large over-the-counter markets, are especially susceptible to reductions of notional amounts and ...
