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In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
As Internet-based commerce becomes increasingly widespread, large data sets about the demand for and pricing of a wide variety of products become available. These present exciting new opportunities for empirical economic and business…
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral…
Evolutionary game theory has been a successful tool to combine classical game theory with learning-dynamical descriptions in multiagent systems. Provided some symmetric structures of interacting players, many studies have been focused on…
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and…
For different factors/reasons, ranging from inherent characteristics and features providing decentralization, enhanced privacy, ease of transactions, etc., to implied external hardships in enforcing regulations, contradictions in data…
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
We introduce a framework for studying the effect of cooperation on the quality of outcomes in utility games. Our framework is a coalitional analog of the smoothness framework of non-cooperative games. Coalitional smoothness implies bounds…
Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on…
Data scarcity presents a key bottleneck for imitation learning in robotic manipulation. In this paper, we focus on random exploration data-actions and video sequences produced autonomously via motions to randomly sampled positions in the…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
We study Bayesian coordination games where agents receive noisy private information over the game's payoff structure, and over each others' actions. If private information over actions is precise, we find that agents can coordinate on…
Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
One of the major questions in the study of economics, logistics, and business forecasting is the measurement and prediction of value creation, distribution, and lifetime in the form of goods. In "real" economies, a perfect model for the…
Public availability of Artificial Intelligence generated information can change the markets forever, and its factoring into economical dynamics may take economists by surprise, out-dating models and schools of thought. Real estate…