Related papers: No Trade Under Verifiable Information
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a "shadow price", i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of…
We review two strands of conceptual approaches to the formal representation of a decision maker's non-knowledge at the initial stage of a static one-person, one-shot decision problem in economic theory. One focuses on representations of…
This paper studies how experts with veto power -- gatekeeping experts -- influence agents through communication. Their expertise informs agents' decisions, while veto power provides discipline. Gatekeepers face a dilemma: transparent…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
Quantum correlations do not allow signalling, and any operation which may be performed on one system of an entangled pair cannot be detected by measurement of the other system alone. This no-signalling condition limits allowed operations…
Our approach is basically a coherence approach, but we avoid the well-known pitfalls of coherence theories of truth. Consistency is replaced by reliability, which expresses support and attack, and, in principle, every theory (or agent,…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…
An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…
We introduce a general framework for reasoning about secrecy and privacy requirements in multiagent systems. Our definitions extend earlier definitions of secrecy and nondeducibility given by Shannon and Sutherland. Roughly speaking, one…
Standard rational expectations models with an occasionally binding zero lower bound constraint either admit no solutions (incoherence) or multiple solutions (incompleteness). This paper shows that deviations from full-information rational…
In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations,…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
We define and analyze three mechanisms for getting common knowledge, a posteriori truths about the world onto a blockchain in a decentralized setting. We show that, when a reasonable economic condition is met, these mechanisms are…
Blockchain based systems allow various kinds of financial transactions to be executed in a decentralized manner. However, these systems often rely on a trusted third party (oracle) to get correct information about the real-world events,…
In a financial market with a continuous price process and proportional transaction costs we investigate the problem of utility maximization of terminal wealth. We give sufficient conditions for the existence of a shadow price process,…
Peer-prediction is a mechanism which elicits privately-held, non-variable information from self-interested agents---formally, truth-telling is a strict Bayes Nash equilibrium of the mechanism. The original Peer-prediction mechanism suffers…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
To determine the welfare implications of price changes in demand data, we introduce a revealed preference relation over prices. We show that the absence of cycles in this relation characterizes a consumer who trades off the utility of…