Related papers: The value of informational arbitrage
Financial markets investors are involved in many games -- they must interact with other agents to achieve their goals. Among them are those directly connected with their activity on markets but one cannot neglect other aspects that…
Incorporating fairness criteria in optimization problems comes at a certain cost, which is measured by the so-called price of fairness. Here we consider the allocation of indivisible goods. For envy-freeness as fairness criterion it is…
I examine the value of information from sell-side analysts by analyzing a large corpus of their written reports. Using embeddings from state-of-the-art large language models, I show that qualitative information in analyst reports explains…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
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.…
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
It is believed that interventions that change the media's costs of misreporting can increase the information provided by media outlets. This paper analyzes the validity of this claim and the welfare implications of those types of…
Betting strategies are often expressed formally as martingales. A martingale is called integer-valued if each bet must be an integer value. Integer-valued strategies correspond to the fact that in most betting situations, there is a minimum…
The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…
The seller of an asset has the option to buy hard information about the value of the asset from an intermediary. The seller can then disclose the acquired information before selling the asset in a competitive market. We study how the…
Existing auto-bidding algorithms in digital advertising often treat the value of an ad opportunity as the revenue obtained when an ad is shown and/or clicked, and bid accordingly. This can lead to wasteful spending because the true value is…
Reinforcement learning systems are often concerned with balancing exploration of untested actions against exploitation of actions that are known to be good. The benefit of exploration can be estimated using the classical notion of Value of…
We address online learning in complex auction settings, such as sponsored search auctions, where the value of the bidder is unknown to her, evolving in an arbitrary manner and observed only if the bidder wins an allocation. We leverage the…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…
Standard decision frameworks address uncertainty about facts but assume fixed options and values. We extend the Jeffrey-Bolker framework to model refinements in values and prove a value-of-information theorem for axiological refinement. In…
We develop a unified analysis of how information captures attention. A decision maker (DM) faces a dynamic information structure and decides when to stop paying attention. We characterize the convex$\unicode{x2013}$order frontier and…
We introduce \emph{informational punishment} to the design of mechanisms that compete with an exogenous status quo mechanism: Players can send garbled public messages with some delay, and others cannot commit to ignoring them. Optimal…
Strategic information disclosure, in its simplest form, considers a game between an information provider (sender) who has access to some private information that an information receiver is interested in. While the receiver takes an action…