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The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
Scoring rules measure the deviation between a probabilistic forecast and reality. Strictly proper scoring rules have the property that for any forecast, the mathematical expectation of the score of a forecast p by the lights of p is…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
The iterated prisoner's dilemma is a game that produces many counter-intuitive and complex behaviors in a social environment, based on very simple basic rules. It illustrates that cooperation can be a good thing even in a competitive world,…
Individuals are often influenced by the behavior of others, for instance because they wish to obtain the benefits of coordinated actions or infer otherwise inaccessible information. In such situations this social influence decreases the ex…
Decision-making methods very often use the technique of comparing alternatives in pairs. In this approach, experts are asked to compare different options, and then a quantitative ranking is created from the results obtained. It is commonly…
We consider the problem of belief aggregation: given a group of individual agents with probabilistic beliefs over a set of uncertain events, formulate a sensible consensus or aggregate probability distribution over these events. Researchers…
Equilibrium computation in markets usually considers settings where player valuation functions are known. We consider the setting where player valuations are unknown; using a PAC learning-theoretic framework, we analyze some classes of…
Hanson's market scoring rules allow us to design a prediction market that still gives useful information even if we have an illiquid market with a limited number of budget-constrained agents. Each agent can "move" the current price of a…
Peer prediction mechanisms are typically proposed and analyzed under the assumption that the report and signal spaces are identical. In practice, however, agents often observe richer information which they then map to a coarser report…
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate…
We study a fair division problem with indivisible items, namely the computation of maximin share allocations. Given a set of $n$ players, the maximin share of a single player is the best she can guarantee to herself, if she would partition…
Methods to quantify uncertainty in predictions from arbitrary models are in demand in high-stakes domains like medicine and finance. Conformal prediction has emerged as a popular method for producing a set of predictions with specified…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
Scoring rules for eliciting expert predictions of random variables are usually developed assuming that experts derive utility only from the quality of their predictions (e.g., score awarded by the rule, or payoff in a prediction market). We…
We investigate the problem of a principal looking to contract an expert to provide a probability forecast for a categorical event. We assume all experts have a common public prior on the event's probability, but can form more accurate…
We study a dynamic game where an expert sends probabilistic forecasts to a decision-maker. The decision-maker verifies these forecasts using a calibration test based on past data. How should the expert send forecasts to maximize her payoff…
Many markets rely on traders truthfully communicating who has cheated in the past and ostracizing those traders from future trade. This paper investigates when truthful communication is incentive compatible. We find that if each side has a…
Horizontal agreements can fall within the scope of exemptions to antitrust competition if they are expected to create pro-consumer benefits. Inspired by such horizontal agreements, we introduce a cooperative game in which a set of transport…
An employer contracts with a worker to incentivize efforts whose productivity depends on ability; the worker then enters a market that pays him contingent on ability evaluation. With non-additive monitoring technology, the interdependence…