Related papers: Dynamic Equilibrium with Insider Information and G…
We study a routing game in an environment with multiple heterogeneous information systems and an uncertain state that affects edge costs of a congested network. Each information system sends a noisy signal about the state to its subscribed…
A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the…
In this article, I investigate the use of Bayesian updating rules applied to modeling social agents in the case of continuos opinions models. Given another agent statement about the continuous value of a variable $x$, we will see that…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
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…
When learning in strategic environments, a key question is whether agents can overcome uncertainty about their preferences to achieve outcomes they could have achieved absent any uncertainty. Can they do this solely through interactions…
In this article, we investigate the distributed privacy preserving weighted consensus control problem for linear continuous-time multi-agent systems under the event-triggering communication mode. A novel event-triggered privacy preserving…
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely…
A sender communicates private information about a hidden state to a receiver who seeks to match his action to that state. The sender strives to appear informed at the receiver's expense. I characterize informative equilibria under a broad…
I study a model of costly Bayesian persuasion by a privately and partially informed sender who conducts a public experiment. The cost of running an experiment is the expected reduction of a weighted log-likelihood ratio function of the…
We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random and each agent's risk aversion depends dynamically on the…
We consider a monopoly insurance market with a risk-neutral profit-maximizing insurer and a consumer with Yaari Dual Utility preferences that distort the given continuous loss distribution. The insurer observes the loss distribution but not…
We study the problem of finding equilibrium strategies in multi-agent games with incomplete payoff information, where the payoff matrices are only known to the players up to some bounded uncertainty sets. In such games, an ex-post…
The influence of a fixed number of agents with the same fixed behavior on the dynamics of the minority game is studied. Alternatively, the system studied can be considered the minority game with a change in the comfort threshold away from…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
The information investors acquire in asset markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of an asset may reach in the future. This paper explores the market impacts…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…