Related papers: Market Making with Decreasing Utility for Informat…

Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…

We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled…

We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…

The task of infomin learning aims to learn a representation with high utility while being uninformative about a specified target, with the latter achieved by minimising the mutual information between the representation and the target. It…

A monopoly platform sells either a risky product (with unknown utility) or a safe product (with known utility) to agents who sequentially arrive and learn the utility of the risky product by the reporting of previous agents. It is costly…

In this paper, we derive and analyze a continuous of a binary option market with exogenous information. The resulting non-linear system has a discontinuous right hand side, which can be analyzed using zero-dimensional Filippov surfaces.…

The present paper shows that it can be advantageous for traders to publish their information on the true value of an asset even if they (i) cannot build a position in the asset prior to the publication of their information and (ii) cannot…

Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…

We study the utilitarian distortion of social choice mechanisms under the recently proposed learning-augmented framework where some (possibly unreliable) predicted information about the preferences of the agents is given as input. In…

This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…

Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified…

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…

In this paper we design information elicitation mechanisms for Bayesian auctions. While in Bayesian mechanism design the distributions of the players' private types are often assumed to be common knowledge, information elicitation considers…

When selling information products, the seller can provide some free partial information to change people's valuations so that the overall revenue can possibly be increased. We study the general problem of advertising information products by…

We study the effects of data sharing between firms on prices, profits, and consumer welfare. Although indiscriminate sharing of consumer data decreases firm profits due to the subsequent increase in competition, selective sharing can be…

Following the idea of Bayesian learning via Gaussian mixture model, we organically combine the backward-looking information contained in the historical data and the forward-looking information implied by the market portfolio, which is…

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…

This paper proposes a regression market for wind agents to monetize data traded among themselves for wind power forecasting. Existing literature on data markets often treats data disclosure as a binary choice or modulates the data quality…

When users lack specific knowledge of various system parameters, their uncertainty may lead them to make undesirable deviations in their decision making. To alleviate this, an informed system operator may elect to signal information to…

An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…