Related papers: Information Aggregation in Markets with Analysts, …
We examine two types of binary betting markets, whose primary goal is for profit (such as sports gambling) or to gain information (such as prediction markets). We articulate the interplay between belief and price-setting to analyse both…
In order to improve forecasts, a decisionmaker often combines probabilities given by various sources, such as human experts and machine learning classifiers. When few training data are available, aggregation can be improved by incorporating…
Forex trading is the largest market in terms of qutantitative trading. Traditionally, traders refer to technical analysis based on the historical data to make decisions and trade. With the development of artificial intelligent, deep…
An approach to distributed machine learning is to train models on local datasets and aggregate these models into a single, stronger model. A popular instance of this form of parallelization is federated learning, where the nodes…
The recent developments of social networks and recommender systems have dramatically increased the amount of social information shared in human communities, challenging the human ability to process it. As a result, sharing aggregated forms…
There is a fundamental trade-off between the communication cost and latency in information aggregation. Aggregating multiple communication messages over time can alleviate overhead and improve energy efficiency on one hand, but inevitably…
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…
In an illiquid stock, traders can collude and place orders on a predetermined price and quantity at a fixed schedule. This is usually done to manipulate the price of the stock or to create artificial liquidity in the stock, which may…
We explore a nuance to 'no arbitrage' in relation to 'information efficiency': acting immediately on an arbitrage is sometimes suboptimal; in such cases optimised trading can suppress the anticipation of predictable risk-outcomes, thereby…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
We study the implementability of stable matchings in a two-sided market model with one-sided incomplete information. Firms' types are publicly known, whereas workers' types are private information. A mechanism generates a matching and…
We study information disclosure policies for contests among groups. Each player endogenously decides whether or not to participate in competition as a member of their group. Within-group aggregation of effort is best-shot, i.e., each…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
This paper considers the problem of steering the aggregative behavior of a population of noncooperative price-taking agents towards a desired behavior. Different from conventional pricing schemes where the price is fully available for…
The Glosten-Milgrom model describes a single asset market, where informed traders interact with a market maker, in the presence of noise traders. We derive an analogy between this financial model and a Szil\'ard information engine by {\em…
We consider the forecast aggregation problem in repeated settings, where the forecasts are done on a binary event. At each period multiple experts provide forecasts about an event. The goal of the aggregator is to aggregate those forecasts…
Providing opinions through labeling of images, tweets, etc. have drawn immense interest in crowdsourcing markets. This invokes a major challenge of aggregating multiple opinions received from different crowd workers for deriving the final…
Information in the form of data, which can be stored and transferred between users, can be viewed as an intangible commodity, which can be traded in exchange for money. Determining the fair price at which a string of data should be traded…
We present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…
When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors…