Related papers: Only Time Will Tell: Credible Dynamic Signaling
I consider the monopolistic pricing of informational good. A buyer's willingness to pay for information is from inferring the unknown payoffs of actions in decision making. A monopolistic seller and the buyer each observes a private signal…
We investigate the information distribution among different entities in the weak measurements protocol. Focusing on multilevel, decaying systems under continuous (no-click) monitoring, we derive exact, conservation-type information…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
A basic lesson from game theory is that strategic behavior often renders the equilibrium outcome inefficient. The recent literature of information design -- a.k.a. signaling or persuasion -- looks to improve equilibria by providing…
Since economic mechanisms are often applied to very different instances of the same problem, it is desirable to identify mechanisms that work well in a wide range of circumstances. We pursue this goal for a position auction setting and…
We study multidimensional cheap talk with simple language and aligned preferences. An expert communicates with a decision-maker using a score that aggregates a multidimensional state into a one-dimensional message. Even though the expert…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…
In this paper, we reveal that the signal representation of information introduced by Gentzkow and Kamenica (2017) can be applied profitably to dynamic decision problems. We use this to characterize when one dynamic information structure is…
This work explores models of opinion dynamics with opinion-dependent connectivity. Our starting point is that individuals have limited capabilities to engage in interactions with their peers. Motivated by this observation, we propose a…
We introduce \emph{informational punishment} to the design of mechanisms that compete with an exogenous status quo mechanism: Players can send garbled public messages with some delay, and others cannot commit to ignoring them. Optimal…
The nonlinear filter associated with the discrete time signal-observation model $(X_k,Y_k)$ is known to forget its initial condition as $k\to\infty$ regardless of the observation structure when the signal possesses sufficiently strong…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
We consider systems under uncertainty whose dynamics are partially unknown. Our aim is to study satisfaction of temporal logic properties by trajectories of such systems. We express these properties as signal temporal logic formulas and…
We study a setting where Bayesian agents with a common prior have private information related to an event's outcome and sequentially make public announcements relating to their information. Our main result shows that when agents' private…
We study a single-buyer pricing problem with unreliable side information, motivated by the increasing use of AI-assisted decision-making and LLM-based predictions. The seller observes a private sample that may be either accurate (coinciding…
Learning governing dynamics from data is a common goal across the sciences, yet it is only well-posed when the underlying mechanisms are identifiable. In practice, many data-driven methods implicitly assume identifiability; when this…
Dynamic benchmarks interweave model fitting and data collection in an attempt to mitigate the limitations of static benchmarks. In contrast to an extensive theoretical and empirical study of the static setting, the dynamic counterpart lags…
Despite the importance of this variable in the macroeconomic context, current research on job insecurity remains mainly confined to its non-systemic dimension. The research aim of this paper is to identify the short-run and long-run…