Related papers: Deep Investing in Kyle's Single Period Model
Networked public goods games model scenarios in which self-interested agents decide whether or how much to invest in an action that benefits not only themselves, but also their network neighbors. Examples include vaccination, security…
We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…
As artificial intelligence (AI) enters the agentic era, large language models (LLMs) are increasingly deployed as autonomous agents that interact with one another rather than operate in isolation. This shift raises a fundamental question:…
We consider long-lived agents who interact repeatedly in a social network. In each period, each agent learns about an unknown state by observing a private signal and her neighbors' actions from the previous period before choosing her own…
The $\textit{data market design}$ problem is a problem in economic theory to find a set of signaling schemes (statistical experiments) to maximize expected revenue to the information seller, where each experiment reveals some of the…
In the rapidly evolving landscape of eCommerce, Artificial Intelligence (AI) based pricing algorithms, particularly those utilizing Reinforcement Learning (RL), are becoming increasingly prevalent. This rise has led to an inextricable…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…
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…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key…
This paper studies a Kyle-Back model with a risk-averse insider possessing exponential utility and a dynamic stochastic signal about the asset's terminal fundamental value. While the existing literature considers either risk-neutral…
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…
We study how long-lived, rational agents learn in a social network. In every period, after observing the past actions of his neighbors, each agent receives a private signal, and chooses an action whose payoff depends only on the state.…
In revenue maximization of selling a digital product in a social network, the utility of an agent is often considered to have two parts: a private valuation, and linearly additive influences from other agents. We study the incomplete…
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure-…
Network equilibrium models represent a versatile tool for the analysis of interconnected objects and their relationships. They have been widely employed in both science and engineering to study the behavior of complex systems under various…
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…
An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…