Related papers: Theory of Information Pricing
The auction theory literature has so far focused mostly on the design of mechanisms that takes the revenue or the efficiency as a yardstick. However, scenarios where the {\it capacity}, which we define as \textit{``the number of bidders the…
An agent acquires a costly flexible signal before making a decision. We explore to what degree knowledge of the agent's information costs helps predict her behavior. We establish an impossibility result: learning costs alone generate no…
Affordance theory proposes that the use of an object is intrinsically determined by its physical shape. However, when translated to digital objects, affordance theory loses explanatory power, as the same physical affordances, for example,…
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the…
Internet of things (IoT) has been proposed to be a new paradigm of connecting devices and providing services to various applications, e.g., transportation, energy, smart city, and healthcare. In this paper, we focus on an important issue,…
This paper investigates the value of recommendations for disseminating economic information, with a focus on frictions resulting from preference heterogeneity. We consider Bayesian expected-payoff maximizers who receive non-strategic…
When introducing a novel product, a seller sets a price and decides how much information to provide to a buyer, who may incur a search cost to discover an outside option. The buyer knows the outside option distribution; the seller knows…
A monopoly seller is privately and imperfectly informed about the buyer's value of the product. The seller uses information to price discriminate the buyer. A designer offers a mechanism that provides the seller with additional information…
Accurate information processing is crucial both in technology and in nature. To achieve it, any information processing system needs an initial supply of resources away from thermal equilibrium. Here we establish a fundamental limit on the…
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…
Bidding is a key element of search advertising, but the variation in bidders' valuations and strategies is often overlooked. Disclosing bid information helps uncover this heterogeneity and enables platforms to tailor their disclosure…
The information released to investors in financial markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of a risky asset may reach in the future. This study develops…
Perfectly rational decision-makers maximize expected utility, but crucially ignore the resource costs incurred when determining optimal actions. Here we employ an axiomatic framework for bounded rational decision-making based on a…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
Inheritances, divorces or liquidations of companies require common assets to be divided among the entitled parties. Legal methods usually consider the market value of goods, while fair division theory takes into account the parties'…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of…
We study information aggregation in a dynamic trading model with partially informed traders. Ostrovsky [2012] showed that `separable' securities aggregate information in all equilibria, however, determining whether a security is separable…
We derive a general upper bound to mutual information in terms of the Fisher information. The bound may be further used to derive a lower bound for the Bayesian quadratic cost. These two provide alternatives to other inequalities in the…
Privacy is under threat from artificial intelligence revolution fueled by unprecedented abundance of data. Differential privacy, an established candidate for privacy protection, is susceptible to adversarial attacks, acts conservatively,…