Related papers: Decreasing Impatience
We propose a general methodology for recovering preference parameters from data on choices and response times. Our methods yield estimates with fast ($1/n$ for $n$ data points) convergence rates when specialized to the popular Drift…
An important use of machine learning is to learn what people value. What posts or photos should a user be shown? Which jobs or activities would a person find rewarding? In each case, observations of people's past choices can inform our…
We consider hundreds of thousands of individual economic transactions to ask: how predictable are consumers in their merchant visitation patterns? Our results suggest that, in the long-run, much of our seemingly elective activity is…
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price…
This paper is concerned with learning decision makers' preferences using data on observed choices from a finite set of risky alternatives. We propose a discrete choice model with unobserved heterogeneity in consideration sets and in…
Distributed averaging of agent initial conditions is a well-studied problem in context of networked systems where coordination amongst the agents is of paramount importance. The asymptotic nature of convergence of distributed averaging…
Extensive research shows that consumers are generally averse to price discrimination. However, instruments of differential pricing can benefit consumer surplus and alleviate inequity through targeted price discounts. This paper examines how…
We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
Stochastic games with discounted payoff, introduced by Shapley, model adversarial interactions in stochastic environments where two players try to optimize a discounted sum of rewards. In this model, long-term weights are geometrically…
The well-known Condorcet Jury Theorem states that, under majority rule, the better of two alternatives is chosen with probability approaching one as the population grows. We study an asymmetric setting where voters face varying…
A key issue in the handling of temporal data is the treatment of persistence; in most approaches it consists in inferring defeasible confusions by extrapolating from the actual knowledge of the history of the world; we propose here a…
We consider a service system with an infinite number of exponential servers sharing a finite service capacity. The servers are ordered according to their speed, and arriving customers join the fastest idle server. A capacity allocation is…
This paper provides a behavioral analysis of conservatism in beliefs. I introduce a new axiom, Dynamic Conservatism, that relaxes Dynamic Consistency when information and prior beliefs "conflict." When the agent is a subjective expected…
We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discounting rate as the price of a zero-coupon bond at zero under…
In a standard NP-complete optimization problem we introduce an interpolating algorithm between the quick decrease along the gradient (greedy dynamics) and a slow decrease close to the level curves (reluctant dynamics). We find that for a…
Understanding consumption dynamics and its impact on the whole economy and welfare within the present economic crisis is not an easy task. Indeed the level of consumer demand for different goods varies with the prices, consumer incomes and…
We consider a class of combinatorial optimization problems that emerge in a variety of domains among which: condensed matter physics, theory of financial risks, error correcting codes in information transmissions, molecular and protein…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
Nontransitive choices have long been an area of curiosity within economics. However, determining whether nontransitive choices represent an individual's preference is a difficult task since choice data is inherently stochastic. This paper…