Related papers: Arbitrage from a Bayesian's Perspective
In the classical Bayesian persuasion model an informed player and an uninformed one engage in a static interaction. The informed player, the sender, knows the state of nature, while the uninformed one, the receiver, does not. The informed…
This paper studies repeated games where two players play multiple duopolistic games simultaneously (multimarket contact). A key assumption is that each player receives a noisy and private signal about the other's actions (private monitoring…
Our previous work on classifying complex ship images [1,2] has evolved into an effort to develop software tools for building and solving generic classification problems. Managing the uncertainty associated with feature data and other…
Discovering causal relationships is a hard task, often hindered by the need for intervention, and often requiring large amounts of data to resolve statistical uncertainty. However, humans quickly arrive at useful causal relationships. One…
One of the core facets of Bayesianism is in the updating of prior beliefs in light of new evidence$\text{ -- }$so how can we maintain a Bayesian approach if we have no prior beliefs in the first place? This is one of the central challenges…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
We introduce a unified mathematical and probabilistic framework for understanding and comparing diverse AI agent strategies. We bridge the gap between high-level agent design concepts, such as ReAct, multi-agent systems, and control flows,…
The notion of argumentation and the one of belief stand in a problematic relation to one another. On the one hand, argumentation is crucial for belief formation: as the outcome of a process of arguing, an agent might come to (justifiably)…
Leading agent-based trust models address two important needs. First, they show how an agent may estimate the trustworthiness of another agent based on prior interactions. Second, they show how agents may share their knowledge in order to…
Existing approaches for generating human-aware agent behaviors have considered different measures of interpretability in isolation. Further, these measures have been studied under differing assumptions, thus precluding the possibility of…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
We apply a Bayesian agent-based framework inspired by QBism to iterations of two quantum games, the CHSH game and the quantum prisoners' dilemma. In each two-player game, players hold beliefs about an amount of shared entanglement and about…
This paper builds on "Collective Arbitrage and the Value of Cooperation" by Biagini et al. (2025, forthcoming in "Finance and Stochastics"), which introduced in discrete time the notions of collective arbitrage and super-replication in a…
We define a model of interactive communication where two agents with private types can exchange information before a game is played. The model contains Bayesian persuasion as a special case of a one-round communication protocol. We define…
Human interactions are influenced by emotions, temperament, and affection, often conflicting with individuals' underlying preferences. Without explicit knowledge of those preferences, judging whether behaviour is appropriate becomes…
We study the revenue comparison problem of auctions when the seller has a maxmin expected utility preference. The seller holds a set of priors around some reference belief, interpreted as an approximating model of the true probability law…
The field of Game Theory provides a useful mechanism for modeling many decision-making scenarios. In participating in these scenarios individuals and groups adopt particular strategies, which generally perform with varying levels of…
In a dynamic matching market, such as a marriage or job market, how should agents balance accepting a proposed match with the cost of continuing their search? We consider this problem in a discrete setting, in which agents have cardinal…
Securities markets are quintessential complex adaptive systems in which heterogeneous agents compete in an attempt to maximize returns. Species of trading agents are also subject to evolutionary pressure as entire classes of strategies…
Randomized controlled experiments assess new policy impacts on performance metrics to inform launch decisions. Traditional approaches evaluate metrics independently despite correlations, and mixed results (e.g., positive revenue impact,…