Optimal Regret for Profit Maximization in Bilateral Trade

Matteo Castiglioni, Anna Lunghi, Alberto Marchesi

Learning to profit from trade requires learning both sides of a market: what a seller is willing to accept and what a buyer is willing to pay. We study repeated bilateral trade, where an intermediary posts a purchase price to a seller and a sale price to a buyer whose valuations are drawn from an unknown joint distribution. Trade occurs only if both parties accept their respective prices, in which case the intermediary earns the difference between the two prices. The intermediary observes only whether trade occurs, without observing either valuation. We show that learning both sides of the market is no harder, in terms of regret, than learning just one. Specifically, we design an algorithm achieving regret $\widetilde{\mathcal{O}}(T^{2/3})$ against the best fixed pair of prices, matching, up to logarithmic factors, the classical lower bound for one-dimensional dynamic pricing. Our result shows that the classical one-dimensional regret rate survives the transition to two dimensions, raising the question of whether this absence of a curse of dimensionality extends to arbitrarily high dimensions.