A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distribution of the relative price, defined as the relative difference between the order price in opening call auction and the closing price of last tr…
AHEAD improves financial market efficiency through ad-hoc auctions.
problem Improving financial market efficiency and reducing transaction costs.
method Introducing a new matching design (AHEAD) for electronic markets where participants can trade at a fixed price and trigger auctions when unsatisfied.
result A Nash equilibrium is achieved in the market, and ad-hoc auctions are more relevant and efficient than periodic auctions and continuous limit order books.
Statistical properties of order-driven double-auction markets with Bid-Ask spread are investigated through the dynamical quantities such as response function. We first attempt to utilize the so-called {\it Madhavan-Richardson-Roomans model} (MRR for short) to simulate the stochastic process of the price-change in empir…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes, with random prices distributed according to a general distribution, and may be c…
Motivated by online advertising auctions, we consider repeated Vickrey auctions where goods of unknown value are sold sequentially and bidders only learn (potentially noisy) information about a good's value once it is purchased. We adopt an online learning approach with bandit feedback to model this problem and derive …
Over the last decade, digital media (web or app publishers) generalized the use of real time ad auctions to sell their ad spaces. Multiple auction platforms, also called Supply-Side Platforms (SSP), were created. Because of this multiplicity, publishers started to create competition between SSPs. In this setting, there…
We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers random buy and sell orders, placed following demand- and supply-side valuation di…
Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the thre…
We provide an exact analytical solution of the Nash equilibrium for k- price auctions. We also introduce a new type of auction and demonstrate that it has fair solutions other than the second price auctions, therefore paving the way for replacing second price auctions.
The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms respond to many auctions -- usually Vickrey auctions -- throughout the day for buying ad-inventory with the aim of maximizing one or severa…
In this study, we present a simple stochastic order-book model for investors' swarm behaviors seen in the continuous double auction mechanism, which is employed by major global exchanges. Our study shows a characteristic called "fat tail" is seen in the data obtained from our model that incorporates the investors' swar…
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the imbalance is; the final auction price reacts to a single auction order placement or can…
In the last three decades, we have seen a significant increase in trading goods and services through online auctions. However, this business created an attractive environment for malicious moneymakers who can commit different types of fraud activities, such as Shill Bidding (SB). The latter is predominant across many a…
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 assumption of IID random order flow, and analyze it using simulation, dimensional analy…
The paper examines how builders in Ethereum auctions can defect and replicate winning MEV opportunities, affecting searchers' bidding strategies.
problem Commitment problem in Ethereum auctions where builders can defect and replicate winning MEV opportunities.
method Modeling and analysis of searchers' bidding strategies and the resulting equilibrium, using libMEV dataset.
result The equilibrium is piecewise, with the cost of imperfect commitment depending on replicability and competition. There is sharp heterogeneity across MEV types.
We consider a class of auctions (Lowest Unique Bid Auctions) that have achieved a considerable success on the Internet. Bids are made in cents (of euro) and every bidder can bid as many numbers as she wants. The lowest unique bid wins the auction. Every bid has a fixed cost, and once a participant makes a bid, she gets…
Optimizes reserve prices for first-price auctions to maximize revenue.
problem Optimizing reserve prices for first-price auctions in display advertising.
method Gradient-based algorithm to adaptively update and optimize reserve prices based on bidder responsiveness to experimental shocks.
result Revenue optimization in first-price auctions can be decomposed into demand and bidding components, and techniques are introduced to reduce variance of each.
We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution. This would be useful for many finance related auction settings since asset prices are usually non-negative. 2. We formulat…