Related papers: Time value of extra information against its timely…

This paper explores the integration of strategic optimization methods in search advertising, focusing on ad ranking and bidding mechanisms within E-commerce platforms. By employing a combination of reinforcement learning and evolutionary…

When a game involves many agents or when communication between agents is not possible, it is useful to resort to distributed learning where each agent acts in complete autonomy without any information on the other agents' situations.…

We consider a dynamic pricing problem for repeated contextual second-price auctions with multiple strategic buyers who aim to maximize their long-term time discounted utility. The seller has limited information on buyers' overall demand…

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…

We consider a revenue optimizing seller selling a single item to a buyer, on whose private value the seller has a noisy signal. We show that, when the signal is kept private, arbitrarily more revenue could potentially be extracted than if…

We study a class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…

We propose a model to study the effects of delayed information on option pricing. We first talk about the absence of arbitrage in our model, and then discuss super replication with delayed information in a binomial model, notably, we…

Recently, Frazier et al. proposed a natural model for crowdsourced exploration of different a priori unknown options: a principal is interested in the long-term welfare of a population of agents who arrive one by one in a multi-armed bandit…

An agent acquires a costly flexible signal before making a decision. We explore to what degree knowledge of the agent's information costs helps predict her behavior. We establish an impossibility result: learning costs alone generate no…

Classical Kyle-type models of informed trading typically treat noise trader demand as purely exogenous. In reality, many market participants react to price movements and news, generating feedback effects that can significantly alter market…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…

Online advertising platforms use automated auctions to connect advertisers with potential customers, requiring effective bidding strategies to maximize profits. Accurate ad impact estimation requires considering three key factors: delayed…

Online advertising banners are sold in real-time through auctions.Typically, the more banners a user is shown, the smaller the marginalvalue of the next banner for this user is. This fact can be detected bybasic ML models, that can be used…

We study sequential social learning with endogenous information acquisition when agents have a taste for nonconformity. Each agent observes predecessors' actions, chooses whether to acquire a private signal (and its precision), and then…

We study the optimal placement of advertisements for interactive platforms like conversational AI assistants. Importantly, conversations add a feature absent in canonical search markets -- time. The evolution of a conversation is…

The marvel of markets lies in the fact that dispersed information is instantaneously processed and used to adjust the price of goods, services and assets. Financial markets are particularly efficient when it comes to processing information;…

In contemporary digital markets, personal data often reveals not just isolated traits, but complex, intersectional identities based on combinations of race, gender, disability, and other protected characteristics. This exposure generates a…

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…

Dynamic, risk-based pricing can systematically exclude vulnerable consumer groups from essential resources such as health insurance and consumer credit. We show that a regulator can realign private incentives with social objectives through…

Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…