Related papers: Decreasing Impatience
Timing decisions are common: when to file your taxes, finish a referee report, or complete a task at work. We ask whether time preferences can be inferred when \textsl{only} task completion is observed. To answer this question, we analyze…
The changes in user preferences can originate from substantial reasons, like personality shift, or transient and circumstantial ones, like seasonal changes in item popularities. Disregarding these temporal drifts in modelling user…
The problem of statistical inference in its various forms has been the subject of decades-long extensive research. Most of the effort has been focused on characterizing the behavior as a function of the number of available samples, with far…
This paper studies a consensus problem in multidimensional networks having the same agent-to-agent interaction pattern under both intra- and cross-layer time delays. Several conditions for the agents to asymptotically reach a consensus are…
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
This paper studies a service system in which arriving customers are provided with information about the delay they will experience. Based on this information they decide to wait for service or to leave the system. Specifically, every…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…
A buyer and a seller bargain over the price of an object. Both players can build reputations for being obstinate by offering the same price over time. Before players bargain, the seller decides whether to adopt a new technology that can…
We study belief revision when information is represented by a set of probability distributions, or general information. General information extends the standard event notion while including qualitative information (A is more likely than B),…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
Classical finance models are based on the premise that investors act rationally and utilize all available information when making portfolio decisions. However, these models often fail to capture the anomalies observed in intertemporal…
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spendings/dividend payments,…
We consider a general problem of finding a strategy that minimizes the exponential moment of a given cost function, with an emphasis on its relation to the more common criterion of minimization the expectation of the first moment of the…
Consider a bipartite network where $N$ consumers choose to buy or not to buy $M$ different products. This paper considers the properties of the logistic regression of the $N\times M$ array of i-buys-j purchase decisions,…
We study mechanism which operate on ordinal preference information (i.e., rank ordered lists of alternatives) on the full domain of weak preferences that admits indifferences. We present a novel decomposition of strategyproofness into three…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
The quadratic decaying property of the information rate function states that given a fixed conditional distribution $p_{\mathsf{Y}|\mathsf{X}}$, the mutual information between the (finite) discrete random variables $\mathsf{X}$ and…
We prove an existence result for the principal-agent problem with adverse selection under general assumptions on preferences and allocation spaces. Instead of assuming that the allocation space is finite-dimensional or compact, we consider…