Related papers: No Trade Under Verifiable Information
In this paper, we present a multi-period trading model in the style of Kyle (1985)'s inside trading model, by assuming that there are at least two insiders in the market with long-lived private information, under the requirement that each…
A range of empirical puzzles in finance has been explained as a consequence of traders being averse to ambiguity. Ambiguity averse traders can behave in financial portfolio problems in ways that cannot be rationalized as maximizing…
We are concerned with the problem of introducing credibility type information into reasoning systems. The concept of credibility allows us to discount information provided by agents. An important characteristic of this kind of procedure is…
Strategic classification studies the interaction between a classification rule and the strategic agents it governs. Under the assumption that the classifier is known, rational agents respond to it by manipulating their features. However, in…
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…
As a trusted middleware connecting the blockchain and the real world, the blockchain oracle can obtain trusted real-time price information for financial applications such as payment and settlement, and asset valuation on the blockchain.…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
We construct a privacy-preserving, distributed and decentralized marketplace where parties can exchange data for tokens. In this market, buyers and sellers make transactions in a blockchain and interact with a third party, called notary,…
In response to the increasing complexity and sophistication of cyber threats, particularly those enhanced by advancements in artificial intelligence, traditional security methods are proving insufficient. This paper explores the Zero Trust…
We consider the impact of fairness requirements on the social efficiency of truthful mechanisms for trade, focusing on Bayesian bilateral-trade settings. Unlike the full information case in which all gains-from-trade can be realized and…
Protecting secrets is a key challenge in our contemporary information-based era. In common situations, however, revealing secrets appears unavoidable, for instance, when identifying oneself in a bank to retrieve money. In turn, this may…
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential L\'evy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of…
Welfare maximization in bilateral trade has been extensively studied in recent years. Previous literature obtained incentive-compatible approximation mechanisms only for the private values case. In this paper, we study welfare maximization…
Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…
Transactional memory is a mechanism that manages thread synchronisation on behalf of a programmer so that blocks of code execute with an illusion of atomicity. The main safety criterion for transactional memory is opacity, which defines…
We study the problem of exchange when 1) agents are endowed with heterogeneous indivisible objects, and 2) there is no money. In general, no rule satisfies the three central properties Pareto-efficiency, individual rationality, and…
Firms have access to abundant data on market participants. They use these data to target contracts to agents with specific characteristics, and describe these contracts in opaque terms. In response to such practices, recent proposed…
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…