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In online advertising systems, publishers often face a trade-off in information disclosure strategies: while disclosing more information can enhance efficiency by enabling optimal allocation of ad impressions, it may lose revenue potential…
Two agents trade an item in a simultaneous offer setting, where the exchange takes place if and only if the buyer's bid price weakly exceeds the seller's ask price. Each agent is randomly assigned the buyer or seller role. Both agents are…
In this paper, we address the existence and computation of competitive equilibrium in the transportation market for autonomous carpooling first proposed by [Ostrovsky and Schwarz, 2019]. At equilibrium, the market organizes carpooled trips…
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 -…
Given data with label noise (i.e., incorrect data), deep neural networks would gradually memorize the label noise and impair model performance. To relieve this issue, curriculum learning is proposed to improve model performance and…
Large Language Models (LLMs) are increasingly being used to simulate human-like decision making in agent-based financial market models (ABMs). As models become more powerful and accessible, researchers can now incorporate individual LLM…
This paper proposes an algorithm based on a staged sliding window Transformer architecture to detect abnormal behaviors in the microstructure of the foreign exchange market, focusing on high-frequency EUR/USD trading data. The method…
We consider an environment where sellers compete over buyers. All sellers are a-priori identical and strategically signal buyers about the product they sell. In a setting motivated by on-line advertising in display ad exchanges, where firms…
We discuss the government's reward and penalty mechanism in the presence of asymmetric information and carbon emission constraint when downstream retailers compete in a reverse supply chain network. Considering five game models which are…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
Large language models (LLMs) are increasingly used to provide instructions to many agents who interact with one another. Such shared reliance couples agents who appear to act independently: they may in fact be guided by a common model. This…
The promotion of Conservation Tillage Technology (CTT) is critical for mitigating global soil degradation, yet their actual adoption rates remain substantially lower than anticipated targets. Existing research predominantly focuses on…
Anomaly detection is a challenging task, particularly in systems with many variables. Anomalies are outliers that statistically differ from the analyzed data and can arise from rare events, malfunctions, or system misuse. This study…
The 2015 Nobel Prize in Economic Sciences was awarded to Eugene Fama, Lars Peter Hansen and Robert Shiller for their contributions to the empirical analysis of asset prices. Eugene Fama [1] is an advocate of the efficient market hypothesis.…
Large language models (LLMs) like ChatGPT have significantly lowered the cost of producing written content. This paper studies how LLMs, through lowering writing costs, disrupt markets that traditionally relied on writing as a costly signal…
Strategic information is valuable either by remaining private (for instance if it is sensitive) or, on the other hand, by being used publicly to increase some utility. These two objectives are antagonistic and leaking this information might…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
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…
We study how market segmentation affects consumers when a monopolist can adjust both prices and product qualities across segments, engaging in second- and third-degree price discrimination simultaneously. We characterize the…
This paper models firm-to-firm trade in a production network as a set of double auctions. Firms have multilateral market power, namely, can affect prices in both input and output markets. The size and division of surplus are endogenous and…