Related papers: Testing by Betting while Borrowing and Bargaining
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…
We consider the problem of sequential hypothesis testing by betting. For a general class of composite testing problems -- which include bounded mean testing, equal mean testing for bounded random tuples, and some key ingredients of…
A sequence of spin-1/2 particles polarised in one of two possible directions is presented to an experimenter, who can wager in a double-or-nothing game on the outcomes of measurements in freely chosen polarisation directions. Wealth is…
The assumption of free will - the ability of an experimentalist to make random choices - is central to proving the indeterminism of quantum resources, the primary tool in quantum cryptography. Relaxing the assumption in a Bell test allows…
There has been much recent work on the revenue-raising properties of truthful mechanisms for selling goods to selfish bidders. Typically the revenue of a mechanism is compared against a benchmark (such as, the maximum revenue obtainable by…
We introduce the notion of a risk-limiting financial auditing (RLFA): given $N$ transactions, the goal is to estimate the total misstated monetary fraction~($m^*$) to a given accuracy $\epsilon$, with confidence $1-\delta$. We do this by…
Wagering mechanisms are one-shot betting mechanisms that elicit agents' predictions of an event. For deterministic wagering mechanisms, an existing impossibility result has shown incompatibility of some desirable theoretical properties. In…
Toral (2002) considered an ensemble of N\geq2 players. In game B a player is randomly selected to play Parrondo's original capital-dependent game. In game A' two players are randomly selected without replacement, and the first transfers one…
We introduce a "high probability" framework for repeated games with incomplete information. In our non-equilibrium setting, players aim to guarantee a certain payoff with high probability, rather than in expected value. We provide a high…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
A scenario in which regulators take the drastic step of requiring coverage of all venture bank investment loans using interbank borrowed funds is considered. In this scenario, a minimal amount of default insurance is used, such that Tier 1…
In two-player zero-sum games, the learning dynamic based on optimistic Hedge achieves one of the best-known regret upper bounds among strongly-uncoupled learning dynamics. With an appropriately chosen learning rate, the social and…
The world of empirical machine learning (ML) strongly relies on benchmarks in order to determine the relative effectiveness of different algorithms and methods. This paper proposes the notion of "a benchmark lottery" that describes the…
Free order prophet inequalities bound the ratio between the expected value obtained by two parties each selecting a value from a set of independent random variables: a "prophet" who knows the value of each variable and may select the…
A social norm defines what is good and what is bad in social contexts, as well as what to do based on such assessments. A stable social norm should be maintained against errors committed by its players. In addition, individuals may have…
Given observations from a stationary time series, permutation tests allow one to construct exactly level $\alpha$ tests under the null hypothesis of an i.i.d. (or, more generally, exchangeable) distribution. On the other hand, when the null…
We analyze the Gambler's problem, a simple reinforcement learning problem where the gambler has the chance to double or lose the bets until the target is reached. This is an early example introduced in the reinforcement learning textbook by…
We introduce a game-theoretic framework to study the hypothesis testing problem, in the presence of an adversary aiming at preventing a correct decision. Specifically, the paper considers a scenario in which an analyst has to decide whether…
Two critical questions about intergenerational outcomes are: one, whether significant barriers or traps exist between different social or economic strata; and two, the extent to which intergenerational outcomes do (or can be used to) affect…
Simultaneous testing of one hypothesis at multiple alpha levels can be performed within a conventional Neyman-Pearson framework. This is achieved by treating the hypothesis as a family of hypotheses, each member of which explicitly concerns…