I extend Myersonʼs [R. Myerson, Optimal auction design, Math. Oper. Res. 6 (1981) 58–73] ironing technique to more general objective functions. The approach is based on a generalized notion of virtual surplus which can be maximized pointwise even when the monotonicity constraint implied by...

This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multi-period, multi-security model with intraday credit is used to simulate direct and second round settlement failures triggered by the...

This paper assesses alternative auction techniques for pricing and allocating various financial instruments, such as government securities, central bank refinance credit, and foreign exchange. Before recommending appropriate formats for auctioning these items, the paper discusses basic auction...

We address the common scenario where a group of agents wants to divide a set of items fairly, and at the same time seeks to optimize a global goal. Suppose that each item is a task and we want to find an allocation that minimizes the completion time of the last task in an envy-free manner, where...

In many intermediate goods markets buyers and sellers both have market power. Contracts are usually long-term and negotiated bilaterally, codifying many elements in addition to price. We model such bilateral oligopolies as a set of simultaneous Rubinstein-Ståhl bargainings between pairs of...

We investigate firms' incentives for cost reduction in the first price sealed bid auction, a format largely used for procurement. A central feature of the model is that we allow firms to be heterogeneous. Though private value first price auctions are not games with monotonic best responses, we...

The issue of whether or not trade can be sustained when exchange is non-simultaneous is addressed. An environment in which a buyer is exposed to the possibility that a seller will not deliver an item which has been paid for is examined. Situations of this nature often arise when...

We provide experimental evidence that contractual incompleteness, ie, the absence of third party enforcement of workers’ effort or the quality of the good traded causes a fundamental change in the nature of market interactions. If contracts are complete the vast majority of trades are...

We study the dynamical behavior of vehicular traffic through a sequence of traffic lights which are positioned with inhomogeneous interval on a roadway and turn on and off periodically with the synchronized strategy. The dynamics of vehicular traffic controlled by traffic lights is described in...