Can you say more about how you incentivize truthful bidding? I understand about exposure risk and expressive bidding
Both the multiunit dynamics and the specifics of our uniform clearing price mechanic minimize ex-post regret. Double auctions suffer from the winners curse/adverse selection, as limit orders are always "traded through." Multiunit uniform clearing price mechanisms like OneChronos can lessen or eliminate that by incentivizing buyers and sellers to truthfully report aggregate supply and demand curves, and Expressive Bidding enables the reporting of supply and demand curves (among other things). NB: we are not an IC direct mechanism. We are balanced budget and individually rational.
I love the part about eventually determining your value-add by comparing to a counterfactual vanilla market -- sounds a bit like Shapley value? If not exactly Shapley value?
It's a hot take on both Shapley values and VCG (while avoiding the issues with both), and it's about to become an active area of research for us!
Comments
Both the multiunit dynamics and the specifics of our uniform clearing price mechanic minimize ex-post regret. Double auctions suffer from the winners curse/adverse selection, as limit orders are always "traded through." Multiunit uniform clearing price mechanisms like OneChronos can lessen or eliminate that by incentivizing buyers and sellers to truthfully report aggregate supply and demand curves, and Expressive Bidding enables the reporting of supply and demand curves (among other things). NB: we are not an IC direct mechanism. We are balanced budget and individually rational.
I love the part about eventually determining your value-add by comparing to a counterfactual vanilla market -- sounds a bit like Shapley value? If not exactly Shapley value?
It's a hot take on both Shapley values and VCG (while avoiding the issues with both), and it's about to become an active area of research for us!