Related papers: Securities Based Decision Markets
We describe some approaches to explanations for observed outcomes in data management and machine learning. They are based on the assignment of numerical scores to predefined and potentially relevant inputs. More specifically, we consider…
We outline how to create a mechanism that provides an optimal way to elicit, from an arbitrary group of experts, the probability of the truth of an arbitrary logical proposition together with collective information that has an explicit form…
In credit markets, screening algorithms aim to discriminate between good-type and bad-type borrowers. However, when doing so, they can also discriminate between individuals sharing a protected attribute (e.g. gender, age, racial origin) and…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
Scoring systems, as a type of predictive model, have significant advantages in interpretability and transparency and facilitate quick decision-making. As such, scoring systems have been extensively used in a wide variety of industries such…
The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Consequential decisions are increasingly informed by sophisticated data-driven predictive models. However, to consistently learn accurate predictive models, one needs access to ground truth labels. Unfortunately, in practice, labels may…
Societies often rely on human experts to take a wide variety of decisions affecting their members, from jail-or-release decisions taken by judges and stop-and-frisk decisions taken by police officers to accept-or-reject decisions taken by…
We develop a qualitative model of decision making with two aims: to describe how people make simple decisions and to enable computer programs to do the same. Current approaches based on Planning or Decisions Theory either ignore uncertainty…
Consequential decision-making incentivizes individuals to strategically adapt their behavior to the specifics of the decision rule. While a long line of work has viewed strategic adaptation as gaming and attempted to mitigate its effects,…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
We develop a general framework for incorporating distributional preferences in market design. We identify the structural properties of these preferences that guarantee the path independence of choice rules. In decentralized settings, a…
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression that imposes a connection on sign predictability across…
Forecasting stock returns is a challenging problem due to the highly stochastic nature of the market and the vast array of factors and events that can influence trading volume and prices. Nevertheless it has proven to be an attractive…
Predictive analysis in business process monitoring aims at forecasting the future information of a running business process. The prediction is typically made based on the model extracted from historical process execution logs (event logs).…
Individuals are often influenced by the behavior of others, for instance because they wish to obtain the benefits of coordinated actions or infer otherwise inaccessible information. In such situations this social influence decreases the ex…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
Decisions are often based on imprecise, uncertain or vague information. Likewise, the consequences of an action are often equally unpredictable, thus putting the decision maker into a twofold jeopardy. Assuming that the effects of an action…