Can you say more about how you incentivize truthful bidding? I understand about exposure risk and expressive bidding but I'm not sure if that was meant to obviously imply something about truthful bidding which went over my head, or if you meant to not say more about it.
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?
> 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!
i'm not an economist or a game theorist so i don't remember the details but this paper talks about how certain market designs lead to untruthful bidding
lpage might be alluding to something having to do with their proxy bidder implementation but the above paper actually discusses how proxy bidders themselves lead to untruthful bidding (so maybe lpage is suggesting their implementation is better?).
VCGs got a real-world test in FB's ad market [1], and the results were mixed. VCG is in a class of theoretically interesting but fragile and overly game-theoretic mechanisms. Our mechanism is boring from a mechanism design standpoint—it's a uniform clearing price periodic auction without any cleaver demand reduction or tricks aimed at incentive compatibility. The complexity of what we allow for with the bidding language makes closed-form/theoretical analysis at best difficult and, in cases, impossible. Instead, we focus on giving traders a direct means to express their valuations and mechanism that minimizes information leakage and post-trade regret (situations where a bidder wishes they'd behaved differently given the auction's outcome).
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?