We study a problem of dynamic pricing faced by a vendor with limited inventory, uncertain about demand, aiming to maximize expected discounted revenue over an infinite time horiz...
This paper studies price properties in continuous double-auction markets in the presence of marketmakers, agents with special responsibilities for maintaining liquidity and orderl...
I develop a new mechanism for risk allocation and information speculation called a dynamic pari-mutuel market (DPM). A DPM acts as hybrid between a pari-mutuel market and a contin...
A Nash Equilibrium is a joint strategy profile at which each agent myopically plays a best response to the other agents’ strategies, ignoring the possibility that deviating fro...
Amos Fiat, Elias Koutsoupias, Katrina Ligett, Yish...
We consider a pricing problem in an environment where the customers’ willingness-to-pay (WtP) distribution may change at some point over the selling horizon. Customers arrive se...