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作者：Gao, Jianjun; Wang, Zizhuo; Wu, Weiping; Yu, Dian
作者单位：Shanghai University of Finance & Economics; Shanghai University of Finance & Economics; The Chinese University of Hong Kong, Shenzhen; Fuzhou University; Industrial Bank China
摘要：Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to their remarkable efficacy. We propose a novel multivariate utility-based mechanism that unifies several existing automated market-making schemes. Using this mechanism, we establish the convergence results for markets comprised of risk-averse traders who hav...
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作者：Besbes, Omar; Fonseca, Yuri; Lobel, Ilan
作者单位：Columbia University; New York University
摘要：We study the problems of offline and online contextual optimization with feedback information, where instead of observing the loss, we observe, after the fact, the optimal action an oracle with full knowledge of the objective function would have taken. We aim to minimize regret, which is defined as the difference between our losses and the ones incurred by an all-knowing oracle. In the offline setting, the decision maker has information available from past periods and needs to make one decisio...
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作者：Zhou, Jiaqi; Ryzhov, Ilya O.
作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
摘要：We derive a new optimal sampling budget allocation for belief models based on linear regression with continuous covariates, where the expected response is interpreted as the value of the covariate vector, and an error occurs if a lower-valued vector is falsely identified as being better than a higher-valued one. Our allocation optimizes the rate at which the probability of error converges to zero using a large deviations theoretic characterization. This is the first large deviations-based opti...
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作者：Ahunbay, Mete Seref; Bichler, Martin; Knoerr, Johannes
作者单位：Technical University of Munich
摘要：In many real -world markets, participants have non -convex preferences, and the allocation problem needs to consider complex constraints. Electricity markets are a prime example, but similar problems appear in many markets, which has led to a growing literature on market design. Competitive equilibrium does not generally exist in such markets. Today, power markets use heuristic pricing rules based on the dual of a relaxed allocation problem. With increasing levels of renewables, these rules ha...
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作者：Kerimov, Suleyman; Ashlagi, Itai; Gurvich, Itai
作者单位：Rice University; Stanford University; Northwestern University
摘要：We study centralized dynamic matching markets with finitely many agent types and heterogeneous match values. A network topology describes the pairs of agent types that can form a match and the value generated from each match. A matching policy is hindsight optimal if the policy can (nearly) maximize the total value simultaneously at all times. We find that suitably designed greedy policies are hindsight optimal in two-way matching networks. This implies that there is essentially no positive ex...
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作者：Gryglewicz, Sebastian; Kolb, Aaron
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
摘要：We study dynamic entry deterrence through limit pricing in markets subject to persistent demand shocks. An incumbent is privately informed about its costs, high or low, and can deter a Bayesian potential entrant by setting its prices strategically. The entrant can irreversibly enter the market at any time for a fixed cost, earning a payoff that depends on the market conditions and the incumbent's unobserved type. Market demand evolves as a geometric Brownian motion. When market demand is low, ...
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作者：Sun, Xu; Liu, Weiliang
作者单位：University of Miami; National University of Singapore
摘要：An on-demand workforce can greatly benefit a traditional call center by allowing it to adjust its service capacity on demand quickly. Despite its conceptual elegance, the operationalization of this process is challenging due to the various sources of randomness involved. The purpose of this paper is to help call centers enhance service levels while keeping operating expenses low by taking advantage of an on-call pool of temporary agents in day-to-day operations. For that purpose, we develop a ...
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作者：Curmei, Mihaela; Hall, Georgina
作者单位：University of California System; University of California Berkeley; INSEAD Business School
摘要：We present a hierarchy of semidefinite programs (SDPs) for the problem of fitting a shape-constrained (multivariate) polynomial to noisy evaluations of an unknown shape-constrained function. These shape constraints include convexity or monotonicity over a box. We show that polynomial functions that are optimal to any fixed level of our hierarchy form a consistent estimator of the underlying shape-constrained function. As a by-product of the proof, we establish that sum of squares-convex polyno...
