Related papers: Flexible Information Acquisition in the Kyle Model
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra…
Given a sequence of random variables ${\bf X}=X_1,X_2,\ldots$ suppose the aim is to maximize one's return by picking a `favorable' $X_i$. Obviously, the expected payoff crucially depends on the information at hand. An optimally informed…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…
Dynamic feature selection, where we sequentially query features to make accurate predictions with a minimal budget, is a promising paradigm to reduce feature acquisition costs and provide transparency into a model's predictions. The problem…
We study a class of finite-action disclosure games in which the sender's preferences are state-independent and the receiver's optimal action depends only on the expected state. While receiver-preferred equilibria in these games involve full…
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure. More specifically, we consider the setting where the…
We study a setting in which a data buyer seeks to estimate an unknown parameter by purchasing samples from one of K data sellers. Each seller has privately known data quality (e.g., high vs. low variance) and a private per-sample cost. We…
We introduce a theoretical model of information acquisition under resource limitations in a noisy environment. An agent must guess the truth value of a given Boolean formula $\varphi$ after performing a bounded number of noisy tests of the…
We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…
We consider the disclosure problem of a sender with a large data set of hard evidence who wants to persuade a receiver to take higher actions. Because the receiver will make inferences based on the distribution of the data they see, the…
Continually arriving information is communicated through a network of $n$ agents, with the value of information to the $j$'th recipient being a decreasing function of $j/n$, and communication costs paid by recipient. Regardless of details…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
An analyst observes the frequency with which a decision maker (DM) takes actions, but not the frequency conditional on payoff-relevant states. We ask when the analyst can rationalize the DM's choices as if the DM first learns something…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
This paper addresses the problem of distributed detection in fixed and switching networks. A network of agents observe partially informative signals about the unknown state of the world. Hence, they collaborate with each other to identify…
We study the anticipating version of the classical portfolio optimization problem in a financial market with the presence of a trader who possesses privileged information about the future (insider information), but who is also subjected to…
We study sequential social learning with endogenous information acquisition when agents have a taste for nonconformity. Each agent observes predecessors' actions, chooses whether to acquire a private signal (and its precision), and then…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
We develop a hierarchical Bayesian dynamic game for competitive inventory and pricing under incomplete information. Two firms repeatedly choose order quantities and prices while facing two layers of uncertainty: unknown market demand and…
The trade-off between the information gain and the state disturbance is derived for quantum operations on a single qubit prepared in a uniformly distributed pure state. The derivation is valid for a class of measures quantifying the state…