Related papers: Designing Informative Securities
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters governing the market participants' propensity to change their…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
Targeted sentiment analysis is the task of jointly predicting target entities and their associated sentiment information. Existing research efforts mostly regard this joint task as a sequence labeling problem, building models that can…
Accurate option pricing is essential for effective trading and risk management in financial markets, yet it remains challenging due to market volatility and the limitations of traditional models like Black-Scholes. In this paper, we…
Interpretable classification models are built with the purpose of providing a comprehensible description of the decision logic to an external oversight agent. When considered in isolation, a decision tree, a set of classification rules, or…
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…
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…
Prior work has investigated variations of prediction markets that preserve participants' (differential) privacy, which formed the basis of useful mechanisms for purchasing data for machine learning objectives. Such markets required…
In many real-world applications, a model provider provides probabilistic forecasts to downstream decision-makers who use them to make decisions under diverse payoff objectives. The provider may have access to multiple predictive models,…
We study information design in games where players choose from a continuum of actions and have continuously differentiable payoffs. We show that an information structure is optimal when the equilibrium it induces can also be implemented in…
Constantly informing systems (CIS), that is technical systems that provide us with information over a long period of time, face the challenge of providing us with helpful information. The information base of a human model changes over time…
The emph{securities market} is the fundamental theoretical framework in economics and finance for resource allocation under uncertainty. Securities serve both to reallocate risk and to disseminate probabilistic information. emph{Complete}…
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…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
A decision is an act or event of decision taking. Decision making always includes decision taking, the latter not involving significant exchanges with non-deciding agents. A decision outcome is a piece of storable information constituting…
The main aim of decision support systems is to find solutions that satisfy user requirements. Often, this leads to predictability of those solutions, in the sense that having the input data and the model, an adversary or enemy can predict…
Notifications provide a unique mechanism for increasing the effectiveness of real-time information delivery systems. However, notifications that demand users' attention at inopportune moments are more likely to have adverse effects and…
We study the design of mechanisms -- e.g., auctions -- when the designer does not control information flows between mechanism participants. A mechanism equilibrium is leakage-proof if no player conditions their actions on leaked…
This work considers a novel information design problem and studies how the craft of payoff-relevant environmental signals solely can influence the behaviors of intelligent agents. The agents' strategic interactions are captured by an…
A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…