Related papers: Sequentially Optimal Pricing under Informational R…
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The…
We identify a trade-off between robustness and accuracy that serves as a guiding principle in the design of defenses against adversarial examples. Although this problem has been widely studied empirically, much remains unknown concerning…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
We provide a characterization of revenue-optimal dynamic mechanisms in settings where a monopolist sells k items over k periods to a buyer who realizes his value for item i in the beginning of period i. We require that the mechanism…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
We consider the problem of sequentially making decisions that are rewarded by "successes" and "failures" which can be predicted through an unknown relationship that depends on a partially controllable vector of attributes for each instance.…
We study a robust selling problem where a seller attempts to sell one item to a buyer but is uncertain about the buyer's valuation distribution. Existing literature shows that robust screening provides a stronger theoretical guarantee than…
We derive a fundamental trade-off between standard and adversarial risk in a rather general situation that formalizes the following simple intuition: "If no (nearly) optimal predictor is smooth, adversarial robustness comes at the cost of…
We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…
We study multi-product monopoly pricing where the seller jointly designs the selling mechanism and the information structure for the buyer to learn his values. Unlike the case with exogenous information, we show that when the seller…
We study the following fundamental data-driven pricing problem. How can/should a decision-maker price its product based on data at a single historical price? How valuable is such data? We consider a decision-maker who optimizes over…
We study the robust sequential screening problem of a monopolist seller of multiple cloud computing services facing a buyer who has private information about his demand distribution for these services. At the time of contracting, the buyer…
We consider a revenue optimizing seller selling a single item to a buyer, on whose private value the seller has a noisy signal. We show that, when the signal is kept private, arbitrarily more revenue could potentially be extracted than if…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
A seller wants to sell an item to $n$ buyers. Buyer valuations are drawn i.i.d. from a distribution unknown to the seller; the seller only knows that the support is included in $[a, b]$. To be robust, the seller chooses a DSIC mechanism…
A principal contracts with an agent who sequentially searches over projects to generate a prize. The principal initially knows only one of the agent's available projects and evaluates a contract by its worst-case performance. We…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
The seller of an asset has the option to buy hard information about the value of the asset from an intermediary. The seller can then disclose the acquired information before selling the asset in a competitive market. We study how the…
A seller offers a buyer a schedule of transfers and associated product qualities. After observing this schedule, the buyer chooses a flexible costly signal about his type. We show it is without loss to focus on a class of mechanisms that…
A single unit of a good is sold to one of two bidders. Each bidder has either a high prior valuation or a low prior valuation for the good. Their prior valuations are independently and identically distributed. Each bidder may observe an…