Related papers: On information efficiency and financial stability
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently…
The recent trend for acquiring big data assumes that possessing quantitatively more and qualitatively finer data necessarily provides an advantage that may be critical in competitive situations. Using a model complex adaptive system where…
We study the necessity of interaction between individuals for obtaining approximately efficient allocations. The role of interaction in markets has received significant attention in economic thinking, e.g. in Hayek's 1945 classic paper. We…
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Energy efficiency technologies (EETs) are crucial for saving energy and reducing carbon dioxide emissions. However, the diffusion of EETs in small and medium-sized enterprises is rather slow. Literature shows the interactions between…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
We study a general class of dynamic multi-agent decision problems with asymmetric information and non-strategic agents, which includes dynamic teams as a special case. When agents are non-strategic, an agent's strategy is known to the other…
Informational contributions to thermodynamics can be studied in isolation by considering systems with fully-degenerate Hamiltonians. In this regime, being in non-equilibrium -- termed informational non-equilibrium -- provides thermodynamic…
Firms strategically disclose product information in order to attract consumers, but recipients often find it costly to process all of it, especially when products have complex features. We study a model of competitive information disclosure…
We study economies where consumers interact independently with many monopolists. When consumer valuations over goods are correlated, correlation can distort the induced distribution of consumer surplus (information rents). We identify which…
We introduce a model for information spreading among a population of N agents diffusing on a square LxL lattice, starting from an informed agent (Source). Information passing from informed to unaware agents occurs whenever the relative…
This paper investigates the optimal hedging strategies of an informed broker interacting with multiple traders in a financial market. We develop a theoretical framework in which the broker, possessing exclusive information about the drift…
In the new digital age, information is available in large quantities. Since information consumes primarily the attention of its recipients, the scarcity of attention is becoming the main limiting factor. In this study, we investigate the…
Network effects are the added value derived solely from the popularity of a product in an economic market. Using agent-based models inspired by statistical physics, we propose a minimal theory of a competitive market for (nearly)…
We introduce a simple network model that is inspired by social information networks such as twitter. Agents are nodes, connecting to another agent by building a directed edge has a cost, and reaching other agents via short directed paths…
The public sector comprises government agencies, ministries, education institutions, health providers and other types of government, commercial and not-for-profit organisations. Unlike commercial enterprises, this environment is highly…
A model of Boolean agents competing in a market is presented where each agent bases his action on information obtained from a small group of other agents. The agents play a competitive game that rewards those in the minority. After a long…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…
Interacting agents receive public information at no cost and flexibly acquire private information at a cost proportional to entropy reduction. When a policymaker provides more public information, agents acquire less private information,…