Related papers: Inside Trading, Public Disclosure and Imperfect Co…
Online platforms collect rich information about participants and then share some of this information back with them to improve market outcomes. In this paper we study the following information disclosure problem in two-sided markets: If a…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
In many decision-making scenarios, individuals strategically choose what information to disclose to optimize their own outcomes. It is unclear whether such strategic information disclosure can lead to good societal outcomes. To address this…
In our model, $n$ traders interact with each other and with a central bank; they are taxed on the money they make, some of which is dissipated away by corruption. A generic feature of our model is that the richest trader always wins by…
In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
The inevitable leakage of privacy as a result of unrestrained disclosure of personal information has motivated extensive research on robust privacy-preserving mechanisms. However, existing research is mostly limited to solving the problem…
We utilize a chartist-fundamentalist model to examine the limits of informationally efficient stock markets. In our model, chartists are permanently active in the stock market, while fundamentalists trade only when their…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
This paper studies a Kyle-Back model with a risk-averse insider possessing exponential utility and a dynamic stochastic signal about the asset's terminal fundamental value. While the existing literature considers either risk-neutral…
We consider nonparametric identification of independent private value first-price auction models, in which the analyst only observes winning bids. Our benchmark model assumes an exogenous number of bidders $N$. We show that, if the bidders…
Bilateral trade is one of the most natural and important forms of economic interaction: A seller has a single, indivisible item for sale, and a buyer is potentially interested. The two parties typically have different, privately known…
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 examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
We study price discovery in a model where an informed agent has arbitrary private information about state probabilities and trades state-contingent claims. The model unifies the key elements of Arrow-Debreu (1954) and Kyle (1985). When the…
Strategic information is valuable either by remaining private (for instance if it is sensitive) or, on the other hand, by being used publicly to increase some utility. These two objectives are antagonistic and leaking this information might…
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
Privacy is an essential issue in data trading markets. This work uses a mechanism design approach to study the optimal market model to economize the value of privacy of personal data, using differential privacy. The buyer uses a finite…