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Learning from a partner who collects higher payoff is a frequently used working hypothesis in evolutionary game theory. One of the alternative dynamical rules is when the focal player prefers to follow the strategy choice of the majority in…
This paper introduces a probabilistic framework to estimate parameters of an acquisition function given observed human behavior that can be modeled as a collection of sample paths from a Bayesian optimization procedure. The methodology…
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the…
In the matroid buyback problem, an algorithm observes a sequence of bids and must decide whether to accept each bid at the moment it arrives, subject to a matroid constraint on the set of accepted bids. Decisions to reject bids are…
This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines…
We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…
We develop a bidding strategy for a hybrid power plant combining co-located wind turbines and an electrolyzer, constructing a price-quantity bidding curve for the day-ahead electricity market while optimally scheduling hydrogen production.…
DeMarzo et al. (2005) consider auctions in which bids are selected from a completely ordered family of securities whose values are tied to the resource being auctioned. The paper defines a notion of relative steepness of families of…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy…
Knowing which features of a multivariate time series to measure and when is a key task in medicine, wearables, and robotics. Better acquisition policies can reduce costs while maintaining or even improving the performance of downstream…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. Functionally generated portfolios, which are deterministic functions of the market weights, are an…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
We consider one buyer and one seller. For a bundle $(t,q)\in [0,\infty[\times [0,1]=\mathbb{Z}$, $q$ either refers to the wining probability of an object or a share of a good, and $t$ denotes the payment that the buyer makes. We define…
Machine learning relies on the assumption that unseen test instances of a classification problem follow the same distribution as observed training data. However, this principle can break down when machine learning is used to make important…
Motivated by the recently launched mobile data trading markets (e.g., China Mobile Hong Kong's 2nd exChange Market), in this paper we study the mobile data trading problem under the future data demand uncertainty. We introduce a…
We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
A buyer and a seller bargain over the price of an object. Both players can build reputations for being obstinate by offering the same price over time. Before players bargain, the seller decides whether to adopt a new technology that can…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…