Related papers: Informed Traders
We study how partial information about scoring rules affects fairness in strategic learning settings. In strategic learning, a learner deploys a scoring rule, and agents respond strategically by modifying their features -- at some cost --…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
The diffusion of AI and big data is reshaping decision-making processes by increasing the amount of information that supports decisions while reducing direct interaction with data and empirical evidence. This paradigm shift introduces new…
In the setting where information cannot be verified, we propose a simple yet powerful information theoretical framework---the Mutual Information Paradigm---for information elicitation mechanisms. Our framework pays every agent a measure of…
Strategic customer behavior is strongly influenced by the level of information that is provided to customers. Hence, to optimize the design of queueing systems, many studies consider various versions of the same service model and compare…
A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies…
When different information sources on a given topic are combined, they interact in a nontrivial manner for a rational receiver of these information sources. Suppose that there are two information sources, one is genuine and the other…
We study information disclosure in competitive markets with adverse selection. Sellers privately observe product quality, with higher quality entailing higher production costs, while buyers trade at the market-clearing price after observing…
This paper delves into financial markets that incorporate a novel form of heterogeneity among investors, specifically in terms of their beliefs regarding the reliability of signals in the business cycle economy model, which may be biased.…
This paper analyzes repeated version of the bilateral trade model where the independent payoff relevant private information of the buyer and the seller is correlated across time. Using this setup it makes the following five contributions.…
Social media has brought a revolution on how people are consuming news. Beyond the undoubtedly large number of advantages brought by social-media platforms, a point of criticism has been the creation of echo chambers and filter bubbles,…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
A principal who values an object allocates it to one or more agents. Agents learn private information (signals) from an information designer about the allocation payoff to the principal. Monetary transfer is not available but the principal…
Some investors say increasing investors with the same strategy decreasing their profits per an investor. On the other hand, some investors using technical analysis used to use same strategy and parameters with other investors, and say that…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
There are multiple explanations for stylized facts in high-frequency trading, including adaptive and informed agents, many of which have been studied through agent-based models. This paper investigates an alternative explanation by…
We consider a stochastic game between three types of players: an inside trader, noise traders and a market maker. In a similar fashion to Kyle's model, we assume that the insider first chooses the size of her market-order and then the…
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck…
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…
Online user-generated content platforms allocate billions of dollars of promotional traffic through algorithms in two-sided marketplaces. To evaluate updates to these algorithms, platforms frequently rely on creator-side randomized…