Related papers: Time value of extra information against its timely…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
Modern content platforms offer paid promotion to mitigate cold start by allocating exposure via auctions. Our empirical analysis reveals a counterintuitive flaw in this paradigm: while promotion rescues low-to-medium quality content, it can…
We investigate brokerage between traders from an online learning perspective. At any round $t$, two traders arrive with their private valuations, and the broker proposes a trading price. Unlike other bilateral trade problems already studied…
The rapid development and deployment of vehicle technologies offer opportunities to re-think the way traffic is managed. This paper capitalizes on vehicle connectivity and proposes an economic instrument and corresponding cooperative…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
Reinforcement learning works best when the impact of the agent's actions on its environment can be perfectly simulated or fully appraised from available data. Some systems are however both hard to simulate and very sensitive to small…
In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside information that allows to achieve arbitrage? If such a value…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
We study a setting where Bayesian agents with a common prior have private information related to an event's outcome and sequentially make public announcements relating to their information. Our main result shows that when agents' private…
We consider the information design problem in spatial resource competition settings. Agents gather at a location deciding whether to move to another location for possibly higher level of resources, and the utility each agent gets by moving…
Motivated by applications such as cloud platforms allocating GPUs to users or governments deploying mobile health units across competing regions, we study the dynamic allocation of a reusable resource to strategic agents with private…
We describe an agent-based simulation of a fictional (but feasible) information trading business. The Gas Price Information Trader (GPIT) buys information about real-time gas prices in a metropolitan area from drivers and resells the…
Online auctions are one of the most fundamental facets of the modern economy and power an industry generating hundreds of billions of dollars a year in revenue. Auction theory has historically focused on the question of designing the best…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
Time-varying pricing tariffs incentivize consumers to shift their electricity demand and reduce costs, but may increase the energy burden for consumers with limited response capability. The utility must thus balance affordability and…