Related papers: Zero Intelligence Models of the Continuous Double …
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the…
Evaluating mathematical reasoning in LLMs is constrained by limited benchmark sizes and inherent model stochasticity, yielding high-variance accuracy estimates and unstable rankings across platforms. On difficult problems, an LLM may fail…
Models that surpass human performance on several popular benchmarks display significant degradation in performance on exposure to Out of Distribution (OOD) data. Recent research has shown that models overfit to spurious biases and `hack'…
We investigate auction mechanisms for AI-generated content, focusing on applications like ad creative generation. In our model, agents' preferences over stochastically generated content are encoded as large language models (LLMs). We…
In feature-based dynamic pricing, a seller sets appropriate prices for a sequence of products (described by feature vectors) on the fly by learning from the binary outcomes of previous sales sessions ("Sold" if valuation $\geq$ price, and…
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…
We address online learning in complex auction settings, such as sponsored search auctions, where the value of the bidder is unknown to her, evolving in an arbitrary manner and observed only if the bidder wins an allocation. We leverage the…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of…
Large Language Models (LLMs) combined with instruction tuning have made significant progress when generalizing to unseen tasks. However, they have been less successful in Information Extraction (IE), lagging behind task-specific models.…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
While question-answering~(QA) benchmark performance is an automatic and scalable method to compare LLMs, it is an indirect method of evaluating their underlying problem-solving capabilities. Therefore, we propose a holistic and…
Information theoretic criteria (ITC) have been widely adopted in engineering and statistics for selecting, among an ordered set of candidate models, the one that better fits the observed sample data. The selected model minimizes a penalized…
The advancements in large language models (LLMs) have brought significant progress in NLP tasks. However, if a task cannot be fully described in prompts, the models could fail to carry out the task. In this paper, we propose a simple yet…
Motivated by the strategic participation of electricity producers in electricity day-ahead market, we study the problem of online learning in repeated multi-unit uniform price auctions focusing on the adversarial opposing bid setting. The…
Performance of Large Language Models (LLMs) on multiple-choice tasks differs markedly between symbol-based and cloze-style evaluation formats. The observed discrepancies are systematically attributable to task characteristics: natural…
Recent thinking models trained with reinforcement learning and backward-checking CoT often suffer from overthinking: they produce excessively long outputs even on simple problems, wasting computation. Existing evaluations, based on token…
In online advertising systems, publishers often face a trade-off in information disclosure strategies: while disclosing more information can enhance efficiency by enabling optimal allocation of ad impressions, it may lose revenue potential…
Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…
We study a market for private data in which a data analyst publicly releases a statistic over a database of private information. Individuals that own the data incur a cost for their loss of privacy proportional to the differential privacy…
To make deliberate progress towards more intelligent and more human-like artificial systems, we need to be following an appropriate feedback signal: we need to be able to define and evaluate intelligence in a way that enables comparisons…