Related papers: Information inefficiency in a random linear econom…
Offline evaluations of recommender systems attempt to estimate users' satisfaction with recommendations using static data from prior user interactions. These evaluations provide researchers and developers with first approximations of the…
Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…
We study a general problem of allocating limited resources to heterogeneous customers over time under model uncertainty. Each type of customer can be serviced using different actions, each of which stochastically consumes some combination…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
Weighted Updating generalizes Bayesian updating, allowing for biased beliefs by weighting the likelihood function and prior distribution with positive real exponents. I provide a rigorous foundation for the model by showing that…
In our digital and connected societies, the development of social networks, online shopping, and reputation systems raises the question of how individuals use social information, and how it affects their decisions. We report experiments…
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
Empirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example…
Does the asymptotic variance of the maximum composite likelihood estimator of a parameter of interest always decrease when the nuisance parameters are known? Will a composite likelihood necessarily become more efficient by incorporating…
Human explanations of natural language, rationales, form a tool to assess whether models learn a label for the right reasons or rely on dataset-specific shortcuts. Sufficiency is a common metric for estimating the informativeness of…
Information is increasingly being viewed as a resource used by organisms to increase their fitness. Indeed, it has been formally shown that there is a sensible way to assign a reproductive value to information and it is non-negative.…
Optimizing recommender systems based on user interaction data is mainly seen as a problem of dealing with selection bias, where most existing work assumes that interactions from different users are independent. However, it has been shown…
In making models for biological systems one expects to grasp the biology and be able to use ones intuition to predict the outcome. This paper is about the discrepancy between what is expected and what is the outcome of the analysis of the…
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…
By scientific standards, the accuracy of short-term economic forecasts has been poor, and shows no sign of improving over time. We form a delay matrix of time-series data on the overall rate of growth of the economy, with lags spanning the…
Much of economic theory is built on observations of aggregate, rather than individual, behavior. Here, we present novel findings on human shopping patterns at the resolution of a single purchase. Our results suggest that much of our…
The Random Utility Maximization model is by far the most adopted framework to estimate consumer choice behavior. However, behavioral economics has provided strong empirical evidence of irrational choice behavior, such as halo effects, that…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra…