Related papers: Flexible Information Acquisition in the Kyle Model
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…
Known key exchange schemes offering information-theoretic (unconditional) security are complex and costly to implement. Nonetheless, they remain the only known methods for achieving unconditional security in key exchange. Therefore, the…
A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…
We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common concern. Individuals choose the effort with which they search…
Bounded rationality is an important consideration stemming from the fact that agents often have limits on their processing abilities, making the assumption of perfect rationality inapplicable to many real tasks. We propose an…
We consider sequential search by an agent who cannot observe the quality of goods but can acquire information by buying signals from a profit-maximizing principal with limited commitment power. The principal can charge higher prices for…
We consider an environment where players need to decide whether to buy a certain product (or adopt a technology) or not. The product is either good or bad, but its true value is unknown to the players. Instead, each player has her own…
We propose a novel adaptive design for clinical trials with time-to-event outcomes and covariates (which may consist of or include biomarkers). Our method is based on the expected entropy of the posterior distribution of a proportional…
This paper presents a general asymptotic theory of sequential Bayesian estimation giving results for the strongest, almost sure convergence. We show that under certain smoothness conditions on the probability model, the greedy information…
Many real-world situations allow for the acquisition of additional relevant information when making an assessment with limited or uncertain data. However, traditional ML approaches either require all features to be acquired beforehand or…
We analyze dynamical properties of the Shannon information entropy of a continuous probability distribution, which is driven by a standard diffusion process. This entropy choice is confronted with another option, employing the conditional…
This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines…
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…
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…
Purpose. To obtain the interference immunity of the data exchange by spread spectrum signals with variable entropy of the telemetric information data exchange with autonomous mobile robots. Methodology. The results have been obtained by the…
In this paper, we propose a novel Reinforcement Learning approach for solving the Active Information Acquisition problem, which requires an agent to choose a sequence of actions in order to acquire information about a process of interest…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
The "free trial" followed by automatic renewal is a dominant business model in the digital economy. Standard models explain trials as a mechanism for consumers to learn their valuation for a product. We propose a complementary theory based…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…