Related papers: Theory of Information Pricing
Despite the wide usage of information as a concept in science, we have yet to develop a clear & concise scientific definition. This paper is aimed at laying the foundations for a new theory concerning the mechanics of information alongside…
This paper investigates third-degree price discrimination under endogenous market segmentation. Segmenting a market requires access to information about consumers, and this information comes with a cost. I explore the trade-offs between the…
We study the algorithmic problem faced by an information holder (seller) who wants to optimally sell such information to a budged-constrained decision maker (buyer) that has to undertake some action. Differently from previous, we consider…
Every time the customer (individual or company) has to release personal information to its service provider (e.g., an online store or a cloud computing provider), it faces a trade-off between the benefits gained (enhanced or cheaper…
Fashion preference is a fuzzy concept that depends on customer taste, prevailing norms in fashion product/style, henceforth used interchangeably, and a customer's perception of utility or fashionability, yet fashion e-retail relies on…
Data is fundamental to machine learning-based products and services and is considered strategic due to its externalities for businesses, governments, non-profits, and more generally for society. It is renowned that the value of…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
Information is a valuable asset for agents in socio-economic systems, a significant part of the information being entailed into the very network of connections between agents. The different interlinkages patterns that agents establish may,…
How do consultants price expertise? This paper studies a problem of selling information products (expertise) to a buyer (client) who faces decision-making problem under uncertainty. The client is privately informed about the type of…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…
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…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…
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…
Information theory is a practical and theoretical framework developed for the study of communication over noisy channels. Its probabilistic basis and capacity to relate statistical structure to function make it ideally suited for studying…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is…
Research on summarization has mainly been driven by empirical approaches, crafting systems to perform well on standard datasets with the notion of information Importance remaining latent. We argue that establishing theoretical models of…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…