Related papers: Probabilistic Prediction Markets with Intermittent…
We study allocation problems without monetary transfers where agents have correlated types, i.e., hold private information about one another. Such peer information is relevant in various settings, including science funding, allocation of…
Many forecasting applications have a limited distributed target variable, which is zero for most observations and positive for the remaining observations. In the econometrics literature, there is much research about statistical model…
We present a novel methodology for predicting future outcomes that uses small numbers of individuals participating in an imperfect information market. By determining their risk attitudes and performing a nonlinear aggregation of their…
In order to deal with market power that sporadically results from contingencies (e.g., severe weather, plant outages) most electricity markets have institutions in charge of monitoring market performance and mitigating market power. The…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
Exchange of services and resources in, or over, networks is attracting nowadays renewed interest. However, despite the broad applicability and the extensive study of such models, e.g., in the context of P2P networks, many fundamental…
Using the Minority Game model we study a broad spectrum of problems of market mechanism. We study the role of different types of agents: producers, speculators as well as noise traders. The central issue here is the information flow :…
We study the self-assembly of a complex network of collaborations among self-interested agents. The agents can maintain different levels of cooperation with different partners. Further, they continuously, selectively, and independently…
In a multi-party machine learning system, different parties cooperate on optimizing towards better models by sharing data in a privacy-preserving way. A major challenge in learning is the incentive issue. For example, if there is…
A burgeoning paradigm in algorithm design is the field of algorithms with predictions, in which algorithms can take advantage of a possibly-imperfect prediction of some aspect of the problem. While much work has focused on using predictions…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
Recent research in industrial organisation has investigated the essential place that middlemen have in the networks that make up our global economy. In this paper we attempt to understand how such middlemen compete with each other through a…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
We consider a network of interacting agents and we model the process of choice on the adoption of a given innovative product by means of statistical-mechanics tools. The modelization allows us to focus on the effects of direct interactions…
We develop inference for a two-sided matching model where the characteristics of agents on one side of the market are endogenous due to pre-matching investments. The model can be used to measure the impact of frictions in labour markets…