We study the strategic behavior of risk-neutral non-myopic agents in Dynamic Parimutuel Markets (DPM). In a DPM, agents buy or sell shares of contracts, whose future payoff in a p...
This paper extends a previous model where we examined the markets’ microstructure dynamics by using Genetic Programming as a trading rule inference engine, and Self Organizing Ma...
Michael Kampouridis, Shu-Heng Chen, Edward P. K. T...
This paper presents an analysis of entries in the first TAC Market Design Competition that compares the entries across several scenarios. The analysis complements previous work a...
Jinzhong Niu, Kai Cai, Peter McBurney, Simon Parso...
We consider the problem of dynamically hedging the profits of a corporation when these profits are correlated with returns in the financial markets. In particular, we consider the...
— This paper studies an auction based allocation of network resources for short-term contracts for heterogeneous network services. The combinatorial winner selection yields the o...