Related papers: The value of informational arbitrage
We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
Welfare maximization in bilateral trade has been extensively studied in recent years. Previous literature obtained incentive-compatible approximation mechanisms only for the private values case. In this paper, we study welfare maximization…
When users exercise data deletion rights under the General Data Protection Regulation (GDPR) and similar regulations, mobile network operators face a tradeoff: excessive machine unlearning degrades model accuracy and incurs retraining…
This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…
We outline a method to estimate the value of computation for a flexible algorithm using empirical data. To determine a reasonable trade-off between cost and value, we build an empirical model of the value obtained through computation, and…
This paper diverges from previous literature by considering the utility maximization problem in the context of investors having the freedom to actively acquire additional information to mitigate estimation risk. We derive closed-form value…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…
We consider the pricing of American put options in a model-independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
Transparency of information disclosure has always been considered an instrumental component of effective governance, accountability, and ethical behavior in any organization or system. However, a natural question follows: \emph{what is the…
A valuation for a player in a game in extensive form is an assignment of numeric values to the players moves. The valuation reflects the desirability moves. We assume a myopic player, who chooses a move with the highest valuation.…
We consider a generalization of the third degree price discrimination problem studied in Bergemann et al. (2015), where an intermediary between the buyer and the seller can design market segments to maximize any linear combination of…
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-indifference prices for buyers and sellers in continuous time,…
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal…
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…
Consider a market of competing model providers selling query access to models with varying costs and capabilities. Customers submit problem instances and are willing to pay up to a budget for a verifiable solution. An arbitrageur…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless…
Research on limit order book markets has been rapidly growing and nowadays high-frequency full order book data is widely available for researchers and practitioners. However, it is common that research papers use the best level data only,…