Related papers: Flexible Information Acquisition in the Kyle Model
Expanding on MacKay (1992), we argue that conventional model-based methods for active learning - like BALD - have a fundamental shortfall: they fail to directly account for the test-time distribution of the input variables. This can lead to…
We characterise the solutions to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads -- these are short-term deviations from the…
We study a single-buyer pricing problem with unreliable side information, motivated by the increasing use of AI-assisted decision-making and LLM-based predictions. The seller observes a private sample that may be either accurate (coinciding…
Weighted Updating generalizes Bayesian updating, allowing for biased beliefs by weighting the likelihood function and prior distribution with positive real exponents. I provide a rigorous foundation for the model by showing that…
We consider the problem of diagnosis where a set of simple observations are used to infer a potentially complex hidden hypothesis. Finding the optimal subset of observations is intractable in general, thus we focus on the problem of active…
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional L\'evy random bridge over a random point field, our framework relates the…
Gathering the most information by picking the least amount of data is a common task in experimental design or when exploring an unknown environment in reinforcement learning and robotics. A widely used measure for quantifying the…
The information investors acquire in asset markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of an asset may reach in the future. This paper explores the market impacts…
We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and uniqueness of a linear equilibrium and show that the…
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…
We address the trade-off between information gain and state disturbance in measurement performed on qudit systems and devise a class of optimal measurement schemes that saturate the ultimate bound imposed by quantum mechanics to estimation…
This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…
We extend the closed-form privacy-subsidy result of Nakamura~(2026, arXiv:2605.15746) from the single-period Kyle model to continuous-time. A committed Bayesian automated market maker observes the aggregate order flow perturbed by an…
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
A general information equilibrium model in the case of ideal information transfer is defined and then used to derive the relationship between supply (information destination) and demand (information source) with the price as the detector of…
We consider a revenue optimizing seller selling a single item to a buyer, on whose private value the seller has a noisy signal. We show that, when the signal is kept private, arbitrarily more revenue could potentially be extracted than if…
This paper studies the provision of incentives for information acquisition. Information is costly for an agent to acquire and unobservable to a principal. We show that any Pareto optimal contract has a decomposition into a fraction of…
An agent has access to multiple information sources, each of which provides information about a different attribute of an unknown state. Information is acquired continuously -- where the agent chooses both which sources to sample from, and…
We study a data analyst's problem of acquiring data from self-interested individuals to obtain an accurate estimation of some statistic of a population, subject to an expected budget constraint. Each data holder incurs a cost, which is…