Related papers: Market Making with Decreasing Utility for Informat…
I characterize the consumer-optimal market segmentation in competitive markets where multiple firms selling differentiated products to consumers with unit demand. This segmentation is public---in that each firm observes the same market…
We consider a sequential decision-making setting where, at every round $t$, a market maker posts a bid price $B_t$ and an ask price $A_t$ to an incoming trader (the taker) with a private valuation for one unit of some asset. If the trader's…
We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…
Academic research in the field of recommender systems mainly focuses on the problem of maximizing the users' utility by trying to identify the most relevant items for each user. However, such items are not necessarily the ones that maximize…
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two…
An analyst observes the frequency with which a decision maker (DM) takes actions, but not the frequency conditional on payoff-relevant states. We ask when the analyst can rationalize the DM's choices as if the DM first learns something…
This paper explores the design of a balanced data-sharing marketplace for entities with heterogeneous datasets and machine learning models that they seek to refine using data from other agents. The goal of the marketplace is to encourage…
One of the impediments to the efficiency of information markets is the inherent information asymmetry present in them, exacerbated by the "buyer's inspection paradox" (the buyer cannot mitigate the asymmetry by "inspecting" the information,…
Dynamic feature selection, where we sequentially query features to make accurate predictions with a minimal budget, is a promising paradigm to reduce feature acquisition costs and provide transparency into a model's predictions. The problem…
This paper examines competitive information disclosure in search markets with a mix of savvy consumers, who search costlessly, and inexperienced consumers, who face positive search costs. Savvy consumers incentivize truthful disclosure;…
This paper studies optimal mechanisms for collecting and trading data. Consumers benefit from revealing information about their tastes to a service provider because this improves the service. However, the information is also valuable to a…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…
A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting…
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final…
In this work, we aim to design a data marketplace; a robust real-time matching mechanism to efficiently buy and sell training data for Machine Learning tasks. While the monetization of data and pre-trained models is an essential focus of…
An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
The buying and selling of information is taking place at a scale unprecedented in the history of commerce, thanks to the formation of online marketplaces for user data. Data providing agencies sell user information to advertisers to allow…