Related papers: Statistical Inference for Fisher Market Equilibriu…
This paper explores the design of a balanced data-sharing marketplace for entities with heterogeneous datasets and machine learning models that they seek to refine using data from other agents. The goal of the marketplace is to encourage…
Much work has been done on the computation of market equilibria. However due to strategic play by buyers, it is not clear whether these are actually observed in the market. Motivated by the observation that a buyer may derive a better…
In recent years, in quantum information theory, there has been a remarkable development in the general theoretical framework for studying symmetry in dynamics. This development, called resource theory of asymmetry, is expected to have a…
This paper unifies two foundational constructs from economics and algorithmic game theory, the Arctic Auction and the linear Fisher market, to address the efficient allocation of differentiated goods in complex markets. Our main…
The Fisher information matrix (FIM) is a fundamental quantity to represent the characteristics of a stochastic model, including deep neural networks (DNNs). The present study reveals novel statistics of FIM that are universal among a wide…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
We prove that two well-known measures of information are interrelated in interesting and useful ways when applied to nonequilibrium circumstances. A nontrivial form of the lower bound for the Fisher information measure is derived in…
Statistical estimation in many contemporary settings involves the acquisition, analysis, and aggregation of datasets from multiple sources, which can have significant differences in character and in value. Due to these variations, the…
Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inference procedures are likely to yield models…
In lowest unique bid auctions, $N$ players bid for an item. The winner is whoever places the \emph{lowest} bid, provided that it is also unique. We use a grand canonical approach to derive an analytical expression for the equilibrium…
Mean-field limits have been used now as a standard tool in approximations, including for networks with a large number of nodes. Statistical inference on mean-filed models has attracted more attention recently mainly due to the rapid…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
This paper provides a systematic approach to semiparametric identification that is based on statistical information as a measure of its "quality". Identification can be regular or irregular, depending on whether the Fisher information for…
Modern longitudinal data, for example from wearable devices, measures biological signals on a fixed set of participants at a diverging number of time points. Traditional statistical methods are not equipped to handle the computational…
Latent space models are powerful statistical tools for modeling and understanding network data. While the importance of accounting for uncertainty in network analysis has been well recognized, the current literature predominantly focuses on…
In this paper, we introduce a preliminary model for interactions in the data market. Recent research has shown ways in which a data aggregator can design mechanisms for users to ensure the quality of data, even in situations where the users…
Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
We investigate how individuals form expectations about population behavior using statistical inference based on observations of their social relations. Misperceptions about others' connectedness and behavior arise from sampling bias…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…