Related papers: Efficiency in Micro-Behaviors and FL Bias
We propose a model for stochastic formation of opinion clusters, modelled by an evolving network, and herd behaviour to account for the observed fat-tail distribution in returns of financial-price data. The only parameter of the model is h,…
Predicting click and conversion probabilities when bidding on ad exchanges is at the core of the programmatic advertising industry. Two separated lines of previous works respectively address i) the prediction of user conversion probability…
We study a memory-based Boolean game (MBBG) taking place on the regular ring, wherein each agent acts according to its local optimal states of the last M time steps recorded in memory, and the agents in the minority are rewarded. One free…
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…
We investigate the most popular approaches to the problem of sports betting investment based on modern portfolio theory and the Kelly criterion. We define the problem setting, the formal investment strategies, and review their common…
A striking limitation of human cognition is our inability to execute some tasks simultaneously. Recent work suggests that such limitations can arise from a fundamental tradeoff in network architectures that is driven by the sharing of…
This paper deals with the problem of inference associated with linear fractional diffusion process with random effects in the drift. In particular we are concerned with the maximum likelihood estimators (MLE) of the random effect…
An accumulator is a bet that presents a rather unique payout structure, in that it combines multiple bets into a wager that can generate a total payout given by the multiplication of the individual odds of its parts. These potentially…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…
We propose a distributed algorithm for multiagent systems that aim to optimize a common objective when agents differ in their estimates of the objective-relevant state of the environment. Each agent keeps an estimate of the environment and…
We focus on a permutation betting market under parimutuel call auction model where traders bet on the final ranking of n candidates. We present a Proportional Betting mechanism for this market. Our mechanism allows the traders to bet on any…
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at the expense of the latter. To approach this problem, we begin…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…
We study a variant of the classical stochastic $K$-armed bandit where observing the outcome of each arm is expensive, but cheap approximations to this outcome are available. For example, in online advertising the performance of an ad can be…
This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = \mu dt + \sigma dW_t, and to be efficient in the following sense: we do not expect a prespecified trading…
In this paper two portfolio choice models are studied: a purely possibilistic model, in which the return of a risky asset is a fuzzy number, and a mixed model in which a probabilistic background risk is added. For the two models an…
The expected utility hypothesis is a popular concept in economics that is useful for making decisions when the payoff is uncertain. In this paper, we investigate the implications of a fluctuation theorem in the theory of expected utility.…
We propose a general framework for statistical inference on the overall strengths of players in pairwise comparisons, allowing for potential shifts in the covariate distribution. These covariates capture important contextual information…