Related papers: Observational Learning with Competitive Prices
This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines…
Prediction markets are widely treated as forecasting devices that reveal collective expectations about uncertain futures. This article argues that under specifiable conditions they also function as coordination mechanisms: public…
In the Learning to Price setting, a seller posts prices over time with the goal of maximizing revenue while learning the buyer's valuation. This problem is very well understood when values are stationary (fixed or iid). Here we study the…
We study a repeated game with payoff externalities and observable actions where two players receive information over time about an underlying payoff-relevant state, and strategically coordinate their actions. Players learn about the true…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
We consider an infinite collection of agents who make decisions, sequentially, about an unknown underlying binary state of the world. Each agent, prior to making a decision, receives an independent private signal whose distribution depends…
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…
I study the problem of social learning in a model where agents move sequentially. Each agent receives a private signal about the underlying state of the world, observes the past actions in a neighborhood of individuals, and chooses her…
We study the implications of endogenous pricing for learning and welfare in the classic herding model . When prices are determined exogenously, it is known that learning occurs if and only if signals are unbounded. By contrast, we show that…
We study a sequential social learning model in which there is uncertainty about the informativeness of a common signal-generating process. Rational agents arrive in order and make decisions based on the past actions of others and their…
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 nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically (e.g. Gordon et al., 1993). This condition…
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)…
Algorithmic trading, due to its inherent nature, is a difficult problem to tackle; there are too many variables involved in the real world which make it almost impossible to have reliable algorithms for automated stock trading. The lack of…
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…
We consider a group of Bayesian agents who are each given an independent signal about an unknown state of the world, and proceed to communicate with each other. We study the question of asymptotic learning: do agents learn the state of the…
Observational learning is a type of learning that occurs as a function of observing, retaining and possibly replicating or imitating the behaviour of another agent. It is a core mechanism appearing in various instances of social learning…
Motivated by online advertising auctions, we consider repeated Vickrey auctions where goods of unknown value are sold sequentially and bidders only learn (potentially noisy) information about a good's value once it is purchased. We adopt an…
We consider a model of Bayesian observational learning in which a sequence of agents receives a private signal about an underlying binary state of the world. Each agent makes a decision based on its own signal and its observations of…
The computation of equilibrium prices at which the supply of goods matches their demand typically relies on complete information on agents' private attributes, e.g., suppliers' cost functions, which are often unavailable in practice.…