Related papers: Statistical Inference for Fisher Market Equilibriu…
In prediction-based decision-making systems, different perspectives can be at odds: The short-term business goals of the decision makers are often in conflict with the decision subjects' wish to be treated fairly. Balancing these two…
We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair…
We embed buying rights into a (repeated) Arrow-Debreu model to study the long-term effects of regulation through buying rights on arising inequality. Our motivation stems from situations that typically call for regulatory interventions,…
Computing market equilibria is an important practical problem for market design, for example in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every…
The main features of the statistical approach to inverse problems are described on the example of a linear model with additive noise. The approach does not use any Bayesian hypothesis regarding an unknown object; instead, the standard…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
The persistence of racial inequality in the U.S. labor market against a general backdrop of formal equality of opportunity is a troubling phenomenon that has significant ramifications on the design of hiring policies. In this paper, we show…
Online marketplaces increasingly do more than simply match buyers and sellers: they route orders across competing sellers and, in many categories, offer ancillary fulfillment services that make seller inventory a source of platform revenue.…
The quantum Fisher information (QFI) is a fundamental quantity of interest in many areas from quantum metrology to quantum information theory. It can in particular be used as a witness to establish the degree of multi-particle entanglement…
In this paper, we present a novel and effective inference approach to conduct both finite- and large-sample inference for high-dimensional linear regression models. This approach is developed under the so-called repro samples framework, in…
This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…
We study the problem of computing a competitive equilibrium with approximately optimal bundles in Fisher markets with separable piecewise-linear concave (SPLC) utility functions, meaning that every buyer receives a $(1-\delta)$-optimal…
Budgets play a significant role in real-world sequential auction markets such as those implemented by internet companies. To maximize the value provided to auction participants, spending is smoothed across auctions so budgets are used for…
We prove lower bounds on the error of any estimator for the mean of a real probability distribution under the knowledge that the distribution belongs to a given set. We apply these lower bounds both to parametric and nonparametric…
We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…
We introduce the theoretical study of a Platform Equilibrium in a market with unit-demand buyers and unit-supply sellers. Each seller can join a platform and transact with any buyer or remain off-platform and transact with a subset of…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…
We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…
This work addresses learning online fair division under uncertainty, where a central planner sequentially allocates items without precise knowledge of agents' values or utilities. Departing from conventional online algorithm, the planner…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…