Related papers: Information Aggregation with Costly Information Ac…
This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…
We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…
Federated sequential recommendation distributes model training across user devices so that behavioural data remains local, reducing privacy risks. Yet, this setting introduces two intertwined difficulties. On the one hand, individual…
Multivariate information decompositions hold promise to yield insight into complex systems, and stand out for their ability to identify synergistic phenomena. However, the adoption of these approaches has been hindered by there being…
This paper considers the secure aggregation problem for federated learning under an information theoretic cryptographic formulation, where distributed training nodes (referred to as users) train models based on their own local data and a…
Understanding the dependence structure of asset returns is fundamental in risk assessment and is particularly relevant in a portfolio diversification strategy. We propose a clustering approach where evidence accumulated in a multiplicity of…
In the co-sparse analysis model a set of filters is applied to a signal out of the signal class of interest yielding sparse filter responses. As such, it may serve as a prior in inverse problems, or for structural analysis of signals that…
Federated learning is the centralized training of statistical models from decentralized data on mobile devices while preserving the privacy of each device. We present a robust aggregation approach to make federated learning robust to…
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…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
This paper studies the provision of incentives for information acquisition. Information is costly for an agent to acquire and unobservable to a principal. We show that any Pareto optimal contract has a decomposition into a fraction of…
The apparent dichotomy between information-processing and dynamical approaches to complexity science forces researchers to choose between two diverging sets of tools and explanations, creating conflict and often hindering scientific…
Federated learning algorithms are developed both for efficiency reasons and to ensure the privacy and confidentiality of personal and business data, respectively. Despite no data being shared explicitly, recent studies showed that the…
There has been considerable work on reasoning about the strategic ability of agents under imperfect information. However, existing logics such as Probabilistic Strategy Logic are unable to express properties relating to information…
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…
Calibration is a conditional property that depends on the information retained by a predictor. We develop decomposition identities for arbitrary proper losses that make this dependence explicit. At any information level $\mathcal A$, the…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
Understanding a complex system entails capturing the non-trivial collective phenomena that arise from interactions between its different parts. Information theory is a flexible and robust framework to study such behaviours, with several…
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…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…