Learn then Decide: A Learning Approach for Designing Data Marketplaces

As data marketplaces become increasingly central to the digital economy, it is crucial to design efficient pricing mechanisms that optimize revenue while ensuring fair and adaptive pricing. We introduce the Maximum Auction-to-Posted Price (MAPP) mechanism, a novel two-stage approach that first estimates the bidders' value distribution through auctions and then determines the optimal posted price based on the learned distribution. We establish that MAPP is individually rational and incentive-compatible, ensuring truthful bidding while balancing revenue maximization with minimal price discrimination. On the theoretical side, we establish a statistical viewpoint that recasts revenue optimization as a valuation density estimation problem: we show that revenue regret can be controlled by uniform error in estimating the valuation density. MAPP achieves a regret of $O_p(n^{-1}(\log n)^2)$ when incorporating historical bid data, where $n$ is the number of bids in the current round. For sequential dataset sales over $T$ rounds, we propose an online MAPP mechanism that dynamically adjusts pricing across datasets with varying value distributions. Our approach achieves no-regret learning, with the average cumulative regret converging at a rate of $O_p(T^{-1/2}(\log T)^2)$. We validate the effectiveness of MAPP through simulations and real-world data from the FCC AWS-3 spectrum auction.