Related papers: The indifference value of the weak information
We study the stable marriage problem in the partial information setting where the agents, although they have an underlying true strict linear order, are allowed to specify partial orders. Specifically, we focus on the case where the agents…
In an incomplete market the price of a claim f in general cannot be uniquely identified by no arbitrage arguments. However, the ``classical'' super replication price is a sensible indicator of the (maximum selling) value of the claim. When…
This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…
Feature selection is a key step when dealing with high dimensional data. In particular, these techniques simplify the process of knowledge discovery from the data by selecting the most relevant features out of the noisy, redundant and…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
We introduce a bottleneck method for learning data representations based on information deficiency, rather than the more traditional information sufficiency. A variational upper bound allows us to implement this method efficiently. The…
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information…
The products of weak values of quantum observables are shown to be of value in deriving quantum uncertainty and complementarity relations, for both weak and strong measurement statistics. First, a 'product representation formula' allows the…
How do consultants price expertise? This paper studies a problem of selling information products (expertise) to a buyer (client) who faces decision-making problem under uncertainty. The client is privately informed about the type of…
When we extract information from a system by performing a quantum measurement, the state of the system is disturbed due to the backaction of the measurement. Numerous studies have been performed to quantitatively formulate tradeoff…
We show the flaws found in the customary fidelity-based definitions of disturbance in quantum measurements and evolutions. We introduce the "entropic disturbance" D and show that it adequately measures the degree of disturbance, intended…
Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contigent claims, i.e. tradable instruments, whose prices depend on the prices of other tradables.…
The question of how irreversibility can emerge as a generic phenomena when the underlying mechanical theory is reversible has been a long-standing fundamental problem for both classical and quantum mechanics. We describe a mechanism for the…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
Counterfactual explanations are usually obtained by identifying the smallest change made to an input to change a prediction made by a fixed model (hereafter called sparse methods). Recent work, however, has revitalized an old insight: there…
Data is the central commodity of the digital economy. Unlike physical goods, it is non-rival, replicable at near-zero cost, and traded under heterogeneous licensing rules. These properties defy standard supply--demand theory and call for…
We give a concentration inequality based on the premise that random variables take values within a particular region. The concentration inequality guarantees that, for any sequence of correlated random variables, the difference between the…
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…
Data assets are data commodities that have been processed, produced, priced, and traded based on actual demand. Reasonable pricing mechanism for data assets is essential for developing the data market and realizing their value. Most…