Related papers: Information Aggregation in Markets with Analysts, …

In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are…

We investigate whether experts possess differential expertise when making predictions. We note that this would make it possible to aggregate multiple predictions into a result that is more accurate than their consensus average, and that the…

In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…

Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of…

Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…

In this paper we design information elicitation mechanisms for Bayesian auctions. While in Bayesian mechanism design the distributions of the players' private types are often assumed to be common knowledge, information elicitation considers…

In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside information that allows to achieve arbitrage? If such a value…

Sharing systems have facilitated the redistribution of underused resources by providing convenient online marketplaces for individual sellers and buyers. However, sellers in these systems may not fully disclose the information of their…

Forecasts support decision making in a variety of applications. Statistical models can produce accurate forecasts given abundant training data, but when data is sparse, rapidly changing, or unavailable, statistical models may not be able to…

Consumers can acquire information through their own search efforts or through their social network. Information diffusion via word-of-mouth communication leads to some consumers free-riding on their "friends" and less information…

We study the algorithmic problem faced by an information holder (seller) who wants to optimally sell such information to a budged-constrained decision maker (buyer) that has to undertake some action. Differently from previous, we consider…

Firms strategically disclose product information in order to attract consumers, but recipients often find it costly to process all of it, especially when products have complex features. We study a model of competitive information disclosure…

We examine receiver-optimal mechanisms for aggregating information divided across many biased senders. Each sender privately observes an unconditionally independent signal about an unknown state, so no sender can verify another's report. A…

We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…

Data only generates value for a few organizations with expertise and resources to make data shareable, discoverable, and easy to integrate. Sharing data that is easy to discover and integrate is hard because data owners lack information…

Investors try to predict returns of financial assets to make successful investment. Many quantitative analysts have used machine learning-based methods to find unknown profitable market rules from large amounts of market data. However,…

We consider a decision aggregation problem with two experts who each make a binary recommendation after observing a private signal about an unknown binary world state. An agent, who does not know the joint information structure between…

In this paper, we present a multi-period trading model by assuming that traders face not only asymmetric information but also heterogenous prior beliefs, under the requirement that the insider publicly disclose his stock trades after the…

A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…

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…