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We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…
In this paper, we investigate informational asymmetries in the Colonel Blotto game, a game-theoretic model of competitive resource allocation between two players over a set of battlefields. The battlefield valuations are subject to…
We generalize the seminal framework of Kyle (1985) to a many-asset setting, bridging the gap between informed-trading theory and modern trading practices. Specifically, we formulate an infinite-dimensional Bayesian trading game in which the…
The rise of the machine learning (ML) model economy has intertwined markets for training datasets and pre-trained models. However, most pricing approaches still separate data and model transactions or rely on broker-centric pipelines that…
In dynamic games with asymmetric information structure, the widely used concept of equilibrium is perfect Bayesian equilibrium (PBE). This is expressed as a strategy and belief pair that simultaneously satisfy sequential rationality and…
A multi-product monopolist faces a buyer who is privately informed about his valuations for the goods. As is well-known, optimal mechanisms are in general complicated, while simple mechanisms -- such as pure bundling or separate sales --…
Computing market equilibria is a problem of both theoretical and applied interest. Much research to date focuses on the case of static Fisher markets with full information on buyers' utility functions and item supplies. Motivated by…
We explore a model of duopolistic competition in which consumers learn about the fit of each competitor's product. In equilibrium, consumers comparison shop: they learn only about the relative values of the products. When information is…
We study two-player constant-sum Bayesian games with type-independent payoffs. Under a "completeness" statistical condition, any "identifiable'" equilibrium is an ex-post equilibrium. We apply this result to a Downsian election in which…
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
This letter introduces a convergence prediction model (CPM) for decentralized market clearing mechanisms. The CPM serves as a tool to detect potential cyber-attacks that affect the convergence of the consensus mechanism during ongoing…
The paper studies information markets concerning single events from an epistemic social choice perspective. Within the classical Condorcet error model for collective binary decisions, we establish equivalence results between elections and…
Mutual information is commonly used as a measure of similarity between competing labelings of a given set of objects, for example to quantify performance in classification and community detection tasks. As argued recently, however, the…
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…
Assignment games represent a tractable yet versatile model of two-sided markets with transfers. We study the likely properties of the core of randomly generated assignment games. If the joint productivities of every firm and worker are…
For a class of stochastic dynamical models of exchange economies that we call ``fully connected Cobb-Douglas'', the paper proves convergence of the probability distribution to an equilibrium, in total variation metric as time goes to…
We study the computation of equilibria in prediction markets in perhaps the most fundamental special case with two players and three trading opportunities. To do so, we show equivalence of prediction market equilibria with those of a…
This paper studies Bayesian games with general action spaces, correlated types and interdependent payoffs. We introduce the condition of ``decomposable coarser payoff-relevant information'', and show that this condition is both sufficient…
We investigate a two-qubit system to understand the relationship between concurrence and mutual information, where the former determines the amount of quantum entanglement, whereas the latter is its classical residue after performing local…