Efficiently Restructuring Sovereign Debt via Arctic Auctions with Convex Costs
通过凸成本北极拍卖高效重组主权债务
Jugal Garg, Edwin Lock, Vijay V. Vazirani
AI总结 研究北极产品混合拍卖中竞争均衡的计算问题,提出首个多项式时间算法处理可分离阶梯递增边际成本,为全球金融中的复杂拍卖提供计算基础。
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我们研究了北极产品混合拍卖中竞争均衡的计算问题,该拍卖最初为冰岛政府交换冻结金融账户而开发,最近被国际货币基金组织工作人员提议用于主权债务重组。从买方的角度来看,北极拍卖等价于拟线性费雪市场。然而,与标准费雪模型不同,卖方可以通过明确的供应方成本和约束来表达丰富的供应偏好。尽管费雪市场有广泛的算法文献,但卖方方面并未受到太多关注,并且此前没有已知的多项式时间算法用于计算卖方面临非平凡成本时的竞争均衡。我们研究了上述应用中存在的可分离、阶梯递增边际成本的自然且富有表现力的机制。利用多面体理论技术,我们首先证明理性输入导致理性值的竞争均衡。受此结果启发,我们基于经典线性费雪市场原始-对偶平衡流技术的非平凡扩展,开发了该设置的第一个多项式时间算法。我们的工作为具有复杂偏好的拍卖提供了稳健的计算基础,为全球金融中灵活且制度上可行的市场设计铺平了道路。
We study the problem of computing competitive equilibria in the Arctic product-mix auction, originally developed for the Icelandic government for exchanging blocked financial accounts, and more recently proposed by IMF staff for sovereign debt restructuring. From the buyers' perspective, the Arctic auction is equivalent to the quasi-linear Fisher market. However, unlike the standard Fisher model, the seller can express rich supply preferences through explicit supply-side costs and constraints. Despite extensive algorithmic literature on Fisher markets, the seller side has not received much attention, and no polynomial-time algorithm was previously known for computing competitive equilibrium when sellers face nontrivial costs. We examine the natural and expressive regime of separable, stepwise-increasing marginal costs that underlie the above-stated applications. Using polyhedral theory techniques, we first show that rational inputs lead to rational-valued competitive equilibria. Motivated by this result, we develop the first polynomial-time algorithm for this setting based on a non-trivial extension of classic primal-dual balanced-flow techniques for linear Fisher markets. Our work provides a robust computational foundation for auctions with sophisticated preferences, paving the way for flexible and institutionally feasible market designs in global finance.