Related papers: Arbitrage from a Bayesian's Perspective

Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there…

Information in the form of data, which can be stored and transferred between users, can be viewed as an intangible commodity, which can be traded in exchange for money. Determining the fair price at which a string of data should be traded…

Human cooperation depends on how accurately we infer others' motives--how much they value fairness, generosity, or self-interest from the choices they make. We model that process in binary dictator games, which isolate moral trade-offs…

Prediction markets provide an efficient means to assess uncertain quantities from forecasters. Traditional and competitive strictly proper scoring rules have been shown to incentivize players to provide truthful probabilistic forecasts.…

We study a Bayesian persuasion game where a sender wants to persuade a receiver to take a binary action, such as purchasing a product. The sender is informed about the (real-valued) state of the world, such as the quality of the product,…

Prediction markets are often described as mechanisms that ``aggregate information'' into prices, yet the mapping from dispersed private information to observed market histories is typically noisy, endogenous, and shaped by heterogeneous and…

I prove that it is irrational for agents with even slightly private preferences to condition their strategy on private information that is payoff-irrelevant to them, contrary to powerful techniques for analyzing communication and repeated…

Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…

In this paper, we describe an integrated framework for autonomous decision making in a dynamic and interactive environment. We model the interactions between the ego agent and its operating environment as a two-player dynamic game, and…

We consider the question of whether collusion among bidders (a "bidding ring") can be supported in equilibrium of unrepeated first-price auctions. Unlike previous work on the topic such as that by McAfee and McMillan [1992] and Marshall and…

In coordination games and speculative over-the-counter financial markets, solutions depend on higher-order average expectations: agents' expectations about what counterparties, on average, expect their counterparties to think, etc. We offer…

A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…

We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…

In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…

The majority of the statisticians concluded many decades ago that fiducial inference was nonsensical to them. Hannig et al. (2016) and others have, however, contributed to a renewed interest and focus. Fiducial inference is similar to…

We introduce a mathematically rigorous framework for an artificial intelligence system composed of probabilistic agents evolving through structured competition and belief revision. The architecture, grounded in Bayesian inference, measure…

Non-Bayesian social learning theory provides a framework that models distributed inference for a group of agents interacting over a social network. In this framework, each agent iteratively forms and communicates beliefs about an unknown…

The actions of intelligent agents, such as chatbots, recommender systems, and virtual assistants are typically not fully transparent to the user. Consequently, using such an agent involves the user exposing themselves to the risk that the…

We study a model of information aggregation and social learning recently proposed by Jadbabaie, Sandroni, and Tahbaz-Salehi, in which individual agents try to learn a correct state of the world by iteratively updating their beliefs using…

As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…