Related papers: Arbitrage from a Bayesian's Perspective

The combination of the Bayesian game and learning has a rich history, with the idea of controlling a single agent in a system composed of multiple agents with unknown behaviors given a set of types, each specifying a possible behavior for…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

We develop a hierarchical Bayesian dynamic game for competitive inventory and pricing under incomplete information. Two firms repeatedly choose order quantities and prices while facing two layers of uncertainty: unknown market demand and…

There is a long history in game theory on the topic of Bayesian or "rational" learning, in which each player maintains beliefs over a set of alternative behaviours, or types, for the other players. This idea has gained increasing interest…

This paper studies a simplicity notion in a mechanism design setting in which agents do not necessarily share a common prior. I develop a model in which agents participate in a prior-free game of (coarse) information acquisition followed by…

We consider the problem of belief aggregation: given a group of individual agents with probabilistic beliefs over a set of uncertain events, formulate a sensible consensus or aggregate probability distribution over these events. Researchers…

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…

This paper addresses a mathematically tractable model of the Prisoner's Dilemma using the framework of active inference. In this work, we design pairs of Bayesian agents that are tracking the joint game state of their and their opponent's…

Strategies for sustaining cooperation and preventing exploitation by selfish agents in repeated games have mostly been restricted to Markovian strategies where the response of an agent depends on the actions in the previous round. Such…

Active inference offers a first principle account of sentient behaviour, from which special and important cases can be derived, e.g., reinforcement learning, active learning, Bayes optimal inference, Bayes optimal design, etc. Active…

This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…

Across a growing number of fields, human decision making is supported by predictions from AI models. However, we still lack a deep understanding of the effects of adoption of these technologies. In this paper, we introduce a general…

Classical results of Decision Theory, and its extension to a multi-agent setting: Game Theory, operate only at the associative level of information; this is, classical decision makers only take into account probabilities of events; we go…

Bayesian rationality in strategic games presumes that it is possible to translate strategic uncertainty into imperfect information. Correlated equilibrium is guided by the idea that players are Bayes rational, have a common prior, and…

We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price…

An analyst observes the frequency with which an agent takes actions, but not the frequency with which she takes actions conditional on a payoff relevant state. In this setting, we ask when the analyst can rationalize the agent's choices as…

We consider a ubiquitous scenario in the Internet economy when individual decision-makers (henceforth, agents) both produce and consume information as they make strategic choices in an uncertain environment. This creates a three-way…

An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium state, as opportunities for riskless…

This paper examines the impact of cognitive biases on financial decision-making through a static Bayesian game framework. While traditional economic theory assumes fully rational investors, real-world choices are often shaped by loss…

This paper focuses on finite-player incomplete information games where players may hold mutually inconsistent beliefs without a common prior. We introduce absolute continuity of beliefs, extending the classical notion of absolutely…