Related papers: Market Definition: A Sensitivity Analysis
Following up on the success of the analysis of variance (ANOVA) decomposition and the Sobol indices (SI) for global sensitivity analysis, various related quantities of interest have been defined in the literature including the effective and…
Ensuring that a predictor is not biased against a sensible feature is the key of Fairness learning. Conversely, Global Sensitivity Analysis is used in numerous contexts to monitor the influence of any feature on an output variable. We…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
Confronted with the challenge of identifying the most suitable metric to validate the merits of newly proposed models, the decision-making process is anything but straightforward. Given that comparing rankings introduces its own set of…
The performance of the Monte Carlo sampling methods relies on the crucial choice of a proposal density. The notion of optimality is fundamental to design suitable adaptive procedures of the proposal density within Monte Carlo schemes. This…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
For a many-to-one market where firms are endowed with path-independent choice functions, based on the Aizerman-Malishevski decomposition, we define an associated one-to-one market. Given that the usual notion of stability for a one-to-one…
We study the computation of equilibria in prediction markets in perhaps the most fundamental special case with two players and three trading opportunities. To do so, we show equivalence of prediction market equilibria with those of a…
In many real world problems, optimization decisions have to be made with limited information. The decision maker may have no a priori or posteriori data about the often nonconvex objective function except from on a limited number of points…
Assessing sensitivity to unmeasured confounding is an important step in observational studies, which typically estimate effects under the assumption that all confounders are measured. In this paper, we develop a sensitivity analysis…
We study the problem of pure exploration in matching markets under uncertain preferences, where the goal is to identify a stable matching with confidence parameter $\delta$ and minimal sample complexity. Agents learn preferences via…
When several two-sided matching markets merge into one, it is inevitable that some agents will become worse off if the matching mechanism used is stable. I formalize this observation by defining the property of integration monotonicity,…
The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…
Two-sided marketplaces such as eBay, Etsy and Taobao have two distinct groups of customers: buyers who use the platform to seek the most relevant and interesting item to purchase and sellers who view the same platform as a tool to reach out…
Complex systems are characterised by a tight, nontrivial interplay of their constituents, which gives rise to a multi-scale spectrum of emergent properties. In this scenario, it is practically and conceptually difficult to identify those…
Consider an equity market with $n$ stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a buy-and-hold portfolio…
We create a formal framework for the design of informative securities in prediction markets. These securities allow a market organizer to infer the likelihood of events of interest as well as if he knew all of the traders' private signals.…
Developing a system of indicators that reflects the degree to which the securities market fulfils its key functions, is essential to assess the level of its development. In the conditions of asymmetric information it can also provide…
A matching in a two-sided market often incurs an externality: a matched resource may become unavailable to the other side of the market, at least for a while. This is especially an issue in online platforms involving human experts as the…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…