Related papers: Managers' Choice of Disclosure Complexity
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
We represent preferences that exhibit absolute or relative attitudes towards ambiguity without assuming convexity of preferences. Our analysis is motivated by the recent experimental evidence by Baillon and Placido (2019) indicating that…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…
We study a model of dynamic two-stage R&D competition where the competing firms are uncertain about the difficulty of the first stage. Staying in the competition is costly and a firm can also choose whether and when to quit. When a firm…
Entropy always increases monotonically in a closed system but complexity increases at first and then decreases as equilibrium is approached. Commonsense information-related definitions for entropy and complexity demonstrate that complexity…
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and…
This chapter examines the motivations and imperatives for modernizing how statistical agencies approach statistical disclosure limitation for official data product releases. It discusses the implications for agencies' broader data…
We introduce Complexity as Advantage (CAA), a framework that defines the complexity of a system relative to a family of observers. Instead of measuring complexity as an intrinsic property, we evaluate how much predictive regret a system…
A major challenge of interdisciplinary description of complex system behaviour is whether real systems of higher complexity levels can be understood with at least the same degree of objective, "scientific" rigour and universality as…
In a previous FAST paper, I presented a quantitative model of the process of trust building, and showed that trust is accumulated like wealth: the rich get richer. This explained the pervasive phenomenon of adverse selection of trust…
Firm disclosures about future prospects are crucial for corporate valuation and compliance with global regulations, such as the EU's MAR and the US's SEC Rule 10b-5 and RegFD. To comply with disclosure obligations, issuers must identify…
In this paper, we present a multi-period trading model by assuming that traders face not only asymmetric information but also heterogenous prior beliefs, under the requirement that the insider publicly disclose his stock trades after the…
The question What is Complexity? has occupied a great deal of time and paper over the last 20 or so years. There are a myriad different perspectives and definitions but still no consensus. In this paper I take a phenomenological approach,…
This paper addresses the issues of conservativeness and computational complexity of probabilistic robustness analysis. We solve both issues by defining a new sampling strategy and robustness measure. The new measure is shown to be much less…
Feature attribution is widely used in interpretable machine learning to explain how influential each measured input feature value is for an output inference. However, measurements can be uncertain, and it is unclear how the awareness of…
Using theory and experiments, this paper shows that the difficulty of making tradeoffs offers a parsimonious explanation for a wide range of behavioral phenomena. We develop a model of imprecise comparisons applicable to multiattribute,…
The state complexity of the result of a regular operation is often positively correlated with the number of distinct transformations induced by letters in the minimal deterministic finite automaton of the input languages. That is, more…
Suppose, we are given a set of $n$ elements to be clustered into $k$ (unknown) clusters, and an oracle/expert labeler that can interactively answer pair-wise queries of the form, "do two elements $u$ and $v$ belong to the same cluster?".…
Prior work has provided strong evidence that, within organizational settings, teams that bring a diversity of information and perspectives to a task are more effective than teams that do not. If this form of informational diversity confers…
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. We introduce generalizations to the…