output
20072026
most citedMarket impact and trading profile of large trading orders in stock markets

228 citations

Showing 2016Show all

9 papers · 1 filter

cs.GT2016

Approximately Efficient Two-Sided Combinatorial Auctions

Riccardo Colini-Baldeschi, Paul Goldberg, Bart de Keijzer +3

Mechanism design for one-sided markets has been investigated for several decades in economics and in computer science. More recently, there has been an increased attention on mecha…

cs.GT2016

Revenue Maximizing Envy-Free Pricing in Matching Markets with Budgets

Riccardo Colini-Baldeschi, Stefano Leonardi, Qiang Zhang

We study envy-free pricing mechanisms in matching markets with items and budget constrained buyers. Each buyer is interested in a subset of the items on sale, and she appra…

q-fin.RM2016★ 29 cited

Epidemics of Liquidity Shortages in Interbank Markets

Giuseppe Brandi, Riccardo Di Clemente, Giulio Cimini

Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models u…

cs.GT2016★ 30 cited

Dynamic Atomic Congestion Games with Seasonal Flows

Marco Scarsini, Marc Schröder, Tristan Tomala

We propose a model of discrete time dynamic congestion games with atomic players and a single source-destination pair. The latencies of edges are composed by free-flow transit time…

math.OC2016★ 1 cited

Characterizing and Finding the Pareto Optimal Equitable Allocation of Homogeneous Divisible Goods Among Three Players

Marco Dall'Aglio, Camilla Di Luca, Lucia Milone

We consider the division of a finite number of homogeneous divisible items among three players. Under the assumption that each player assigns a positive value to every item, we cha…

math.PR2016★ 37 cited

Variance Allocation and Shapley Value

Riccardo Colini-Baldeschi, Marco Scarsini, Stefano Vaccari

Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of …

cs.GT2016★ 14 cited

On the Price of Anarchy of Highly Congested Nonatomic Network Games

Riccardo Colini-Baldeschi, Roberto Cominetti, Marco Scarsini

We consider nonatomic network games with one source and one destination. We examine the asymptotic behavior of the price of anarchy as the inflow increases. In accordance with some…

math.OC2016★ 7 cited

The Shapley Value in the Knaster Gain Game

Federica Briata, Andrea Dall'Aglio, Marco Dall'Aglio +1

In Briata, Dall'Aglio and Fragnelli (2012), the authors introduce a cooperative game with transferable utility for allocating the gain of a collusion among completely risk-averse a…

cs.GT2016★ 3 cited

Location Games on Networks: Existence and Efficiency of Equilibria

Gaëtan Fournier, Marco Scarsini

We consider a game where a finite number of retailers choose a location, given that their potential consumers are distributed on a network. Retailers do not compete on price but on…