Related papers: Theory of Information Pricing
We consider information filtering, in which we face a stream of items too voluminous to process by hand (e.g., scientific articles, blog posts, emails), and must rely on a computer system to automatically filter out irrelevant items. Such…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a…
In this chapter, we investigate the value of information as a more comprehensive instrument than the age of information for optimally shaping the information flow in a networked control system. In particular, we quantify the value of…
We study the hedging and valuation of European and American claims on a non-traded asset $Y$, when a traded stock $S$ is available for hedging, with $S$ and $Y$ following correlated geometric Brownian motions. This is an incomplete market,…
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information…
In this work, we propose a theory for information matching. It is motivated by the observation that retrieval is about the relevance matching between two sets of properties (features), namely, the information need representation and…
We study super--replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and insider information is modeled by an investor who can peek into the future.…
We are concerned with the problem of introducing credibility type information into reasoning systems. The concept of credibility allows us to discount information provided by agents. An important characteristic of this kind of procedure is…
Social media are massive marketplaces where ideas and news compete for our attention. Previous studies have shown that quality is not a necessary condition for online virality and that knowledge about peer choices can distort the…
We review with a tutorial scope the information theory foundations of quantum statistical physics. Only a small proportion of the variables that characterize a system at the microscopic scale can be controlled, for both practical and…
We initiate the study of markets for private data, though the lens of differential privacy. Although the purchase and sale of private data has already begun on a large scale, a theory of privacy as a commodity is missing. In this paper, we…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
We undertake a formal study of the value of targeting data to an advertiser. As expected, this value is increasing in the utility difference between realizations of the targeting data and the accuracy of the data, and depends on the…
We explore a model of duopolistic competition in which consumers learn about the fit of each competitor's product. In equilibrium, consumers comparison shop: they learn only about the relative values of the products. When information is…
A sender communicates private information about a hidden state to a receiver who seeks to match his action to that state. The sender strives to appear informed at the receiver's expense. I characterize informative equilibria under a broad…
While the entire field of privacy preserving data analytics is focused on the privacy-utility tradeoff, recent work has shown that privacy preserving data publishing can introduce different levels of utility across different population…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…