Related papers: Information Asymmetry Index: The View of Market An…
Information is a valuable asset for agents in socio-economic systems, a significant part of the information being entailed into the very network of connections between agents. The different interlinkages patterns that agents establish may,…
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…
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…
New large language models (LLMs) are being released every day. Some perform significantly better or worse than expected given their parameter count. Therefore, there is a need for a method to independently evaluate models. The current best…
We develop a probabilistic consumer choice framework based on information asymmetry between consumers and firms. This framework makes it possible to study market competition of several firms by both quality and price of their products. We…
One of the impediments to the efficiency of information markets is the inherent information asymmetry present in them, exacerbated by the "buyer's inspection paradox" (the buyer cannot mitigate the asymmetry by "inspecting" the information,…
When human agents come together to make decisions, it is often the case that one human agent has more information than the other. This phenomenon is called information asymmetry and this distorts the market. Often if one human agent intends…
Statistical inference is considered for variables of interest, called primary variables, when auxiliary variables are observed along with the primary variables. We consider the setting of incomplete data analysis, where some primary…
In this work we study an economic agent based model under different asymmetric information degrees. This model is quite simple and can be treated analytically since the buyers evaluate the quality of a certain good taking into account only…
Information coefficient (IC) is a widely used metric for measuring investment managers' skills in selecting stocks. However, its adequacy and effectiveness for evaluating stock selection models has not been clearly understood, as IC from a…
Pairwise comparisons are a well-known method for the representation of the subjective preferences of a decision maker. Evaluating their inconsistency has been a widely studied and discussed topic and several indices have been proposed in…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
We study a competitive electricity market equilibrium with two trading stages, day-ahead and real-time. The welfare of each market agent is exposed to uncertainty (here from renewable energy production), while agent information on the…
In many markets buyers are poorly informed about which firms sell the product (product availability) and prices, and therefore have to spend time to obtain this information. In contrast, sellers typically have a better idea about which…
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…
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations,…
This work addresses the buyer's inspection paradox for information markets. The paradox is that buyers need to access information to determine its value, while sellers need to limit access to prevent theft. To study this, we introduce an…
Purchase data from retail chains provide proxy measures of private household expenditure on items that are the most troublesome to collect in the traditional expenditure survey. Due to the sheer amount of proxy data, the bias due to…
Predictive analytics is increasingly used to guide decision-making in many applications. However, in practice, we often have limited data on the true predictive task of interest, and must instead rely on more abundant data on a…
In this paper, we study the problem of designing proxies (or portfolios) for various stock market indices based on historical data. We use four different methods for computing market indices, all of which are formulas used in actual stock…