Related papers: Information Aggregation in Markets with Analysts, …
Prediction polling is an increasingly popular form of crowdsourcing in which multiple participants estimate the probability or magnitude of some future event. These estimates are then aggregated into a single forecast. Historically,…
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the…
To make decisions we are guided by the evidence we collect, as well as the opinions of friends and neighbors. How do we integrate our private beliefs with information we obtain from our social network? To understand the strategies humans…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
Information is a key component in determining the price of an asset in financial markets, and the main objective of this paper is to study the spread of information in this context. The network of interactions in financial markets is…
The increasing availability of "big" (large volume) social media data has motivated a great deal of research in applying sentiment analysis to predict the movement of prices within financial markets. Previous work in this field investigates…
In evaluating prediction markets (and other crowd-prediction mechanisms), investigators have repeatedly observed a so-called "wisdom of crowds" effect, which roughly says that the average of participants performs much better than the…
As with other commodities, markets could help us efficiently produce machine intelligence. We propose a market where intelligence is priced by other intelligence systems peer-to-peer across the internet. Peers rank each other by training…
No-arbitrage asset pricing characterizes valuation through the existence of equivalent martingale measures relative to a filtration and a class of admissible trading strategies. In practice, pricing is performed across multiple asset…
Bidding is a key element of search advertising, but the variation in bidders' valuations and strategies is often overlooked. Disclosing bid information helps uncover this heterogeneity and enables platforms to tailor their disclosure…
We outline how to create a mechanism that provides an optimal way to elicit, from an arbitrary group of experts, the probability of the truth of an arbitrary logical proposition together with collective information that has an explicit form…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
Living in the Post API age, researchers face unprecedented challenges in obtaining social media data, while users are concerned about how big tech companies use their data. Data donation offers a promising alternative, however, its…
I consider the monopolistic pricing of informational good. A buyer's willingness to pay for information is from inferring the unknown payoffs of actions in decision making. A monopolistic seller and the buyer each observes a private signal…
Collective Investment Algorithms (CoinAlgs) are increasingly popular systems that deploy shared trading strategies for investor communities. Their goal is to democratize sophisticated -- often AI-based -- investing tools. We identify and…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
We compare how well agents aggregate information in two repeated social learning environments. In the first setting agents have access to a public data set. In the second they have access to the same data, and also to the past actions of…
Private data generated by edge devices -- from smart phones to automotive electronics -- are highly informative when aggregated but can be damaging when mishandled. A variety of solutions are being explored but have not yet won the public's…
In recent years, data has played an increasingly important role in the economy as a good in its own right. In many settings, data aggregators cannot directly verify the quality of the data they purchase, nor the effort exerted by data…
We explore brokerage between traders in an online learning framework. At any round $t$, two traders meet to exchange an asset, provided the exchange is mutually beneficial. The broker proposes a trading price, and each trader tries to sell…