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The buying and selling of information is taking place at a scale unprecedented in the history of commerce, thanks to the formation of online marketplaces for user data. Data providing agencies sell user information to advertisers to allow…
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…
Good economic mechanisms depend on the preferences of participants in the mechanism. For example, the revenue-optimal auction for selling an item is parameterized by a reserve price, and the appropriate reserve price depends on how much the…
A seller wants to sell a good to a set of bidders using a credible mechanism. We show that when the seller has private information about her cost, it is impossible for a static mechanism to achieve the optimal revenue. In particular, even…
Many smart grid frameworks, such as demand response programs, require accurate information about consumers' parameters (e.g., flexibility) at the aggregator side to optimize grid operations. Existing works typically rely on perfect…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
As the sociological theory of homophily suggests, people tend to interact with those of similar preferences. Motivated by this well-established phenomenon, today's online sellers, such as Amazon,~seek~to learn a new buyer's private…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
We study an information acquisition problem in which an informed trader acquires costly information prior to trading in the Kyle equilibrium. The cost of information acquisition is represented by an entropy cost. Regardless of the prior…
An agent acquires a costly flexible signal before making a decision. We explore to what degree knowledge of the agent's information costs helps predict her behavior. We establish an impossibility result: learning costs alone generate no…
Peer prediction mechanisms are often adopted to elicit truthful contributions from crowd workers when no ground-truth verification is available. Recently, mechanisms of this type have been developed to incentivize effort exertion, in…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
We study a robust selling problem where a seller attempts to sell one item to a buyer but is uncertain about the buyer's valuation distribution. Existing literature shows that robust screening provides a stronger theoretical guarantee than…
Machine learning (ML) model trading, known for its role in protecting data privacy, faces a major challenge: information asymmetry. This issue can lead to model deception, a problem that current literature has not fully solved, where the…
We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search…
Potential buyers of a product or service, before making their decisions, tend to read reviews written by previous consumers. We consider Bayesian consumers with heterogeneous preferences, who sequentially decide whether to buy an item of…
What are the value and form of optimal persuasion when information can be generated only slowly? We study this question in a dynamic model in which a 'sender' provides public information over time subject to a graduality constraint, and a…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
Information is replicable in that it can be simultaneously consumed and sold to others. We study how resale affects a decentralized market for information. We show that even if the initial seller is an informational monopolist, she captures…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…