Related papers: Adaptive Expectations, Confirmatory Bias, and Info…
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information that an investor might obtain. Considering a model where the…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
Data buyers compete in a game of incomplete information about which a single data seller owns some payoff-relevant information. The seller faces a joint information- and mechanism-design problem: deciding which information to sell, while…
We consider Bayesian optimization of an expensive-to-evaluate black-box objective function, where we also have access to cheaper approximations of the objective. In general, such approximations arise in applications such as reinforcement…
When individuals in a social network learn about an unknown state from private signals and neighbors' actions, the network structure often causes information loss. We consider rational agents and Gaussian signals in the canonical sequential…
When information acquisition is costly but flexible, a principal may rationally acquire information that favors one group over another. The former group faces incentives to invest in becoming productive, while the latter is discouraged from…
This paper provides a behavioral analysis of conservatism in beliefs. I introduce a new axiom, Dynamic Conservatism, that relaxes Dynamic Consistency when information and prior beliefs "conflict." When the agent is a subjective expected…
Correlated equilibria enable a coordinator to influence the self-interested agents by recommending actions that no player has an incentive to deviate from. However, the effectiveness of this mechanism relies on accurate knowledge of the…
This paper investigates the interplay between information diffusion in social networks and its impact on financial markets with an Agent-Based Model (ABM). Agents receive and exchange information about an observable stochastic component of…
The paper examines the learning mechanism of adaptive agents over weakly-connected graphs and reveals an interesting behavior on how information flows through such topologies. The results clarify how asymmetries in the exchange of data can…
This paper studies the provision of incentives for information acquisition. Information is costly for an agent to acquire and unobservable to a principal. We show that any Pareto optimal contract has a decomposition into a fraction of…
The performance of an energy system under a real-time pricing mechanism depends on the consumption behavior of its customers, which involves uncertainties. In this paper, we consider a system operator that charges its customers with a…
We consider the design of prediction market mechanisms known as automated market makers. We show that we can design these mechanisms via the mold of \emph{exponential family distributions}, a popular and well-studied probability…
In some agent designs like inverse reinforcement learning an agent needs to learn its own reward function. Learning the reward function and optimising for it are typically two different processes, usually performed at different stages. We…
We study expert advice under reputational incentives, with sell-side equity research as the lead application. A long-lived analyst receives a continuous private signal about a binary payoff and recommends a risky (Buy) or safe action.…
In many non-cooperative settings, agents often possess useful information that provide an advantage over their opponent(s), but acting on such information too frequently can lead to detection. I develop a simple framework to analyze such a…
Electronic trading markets have evolved rapidly with continued adoption of new technologies and growing in-formation acquisition and processing capabilities. Traditional perspectives on trading performance adopted a mono-lithic view of…
In this paper, we study how a budget-constrained bidder should learn to bid adaptively in repeated first-price auctions to maximize cumulative payoff. This problem arises from the recent industry-wide shift from second-price auctions to…
Algorithmic predictions are increasingly informing societal resource allocations by identifying individuals for targeting. Policymakers often build these systems with the assumption that by gathering more observations on individuals, they…
We study social behaviour of agents on capital markets when these are perturbed by small perturbations. We use the mean field method. Social behaviour of agents on capital markets is described: volatility of the market, aversion constant…