相关论文: Designing Informative Securities

We consider a prediction market in which all aspects are controlled by market forces, in particular the correct outcomes of events are decided by the market itself rather than by trusted arbiters. This kind of a decentralized prediction…

We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…

In online advertising systems, publishers often face a trade-off in information disclosure strategies: while disclosing more information can enhance efficiency by enabling optimal allocation of ad impressions, it may lose revenue potential…

A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting…

We propose a novel symbolic modeling framework for decision-making under risk that merges interpretability with the core insights of Prospect Theory. Our approach replaces opaque utility curves and probability weighting functions with…

We present a novel approach to describing the microstructure of high frequency trading using two key elements. First we introduce a new notion of informed trader which we starkly contrast to current informed trader models. We describe the…

This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.

I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…

In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…

We study the use of Bayesian persuasion (i.e., strategic use of information disclosure/signaling) in endogenous team formation. This is an important consideration in settings such as crowdsourcing competitions, open science challenges and…

Incentive design deals with interaction between a principal and an agent where the former can shape the latter's utility through a policy commitment. It is well known that the principal faces an information rent when dealing with an agent…

How should forecasters be incentivized to acquire the most information when learning takes place over time? We address this question in the context of a novel dynamic mechanism design problem in which a designer incentivizes an expert to…

A fundamental result in mechanism design theory, the so-called revelation principle, asserts that for many questions concerning the existence of mechanisms with a given outcome one can restrict attention to truthful direct…

Data-driven predictions are often perceived as inaccurate in hindsight due to behavioral responses. In this study, we explore the role of interface design choices in shaping individuals' decision-making processes in response to predictions…

Due to the opacity of machine learning technology, there is a need for explainability and fairness in the decision support systems used in public or private organizations. Although the criteria for appropriate explanations and fair…

Questions convey information about the questioner, namely what one does not know. In this paper, we propose a novel approach to allow a learning agent to ask what it considers as tricky to predict, in the course of producing a final output.…

Prediction markets are often used as mechanisms to aggregate information about a future event, for example, whether a candidate will win an election. The event is typically assumed to be exogenous. In reality, participants may influence the…

We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…

When can interventions in markets be designed to increase surplus robustly -- i.e., with high probability -- accounting for uncertainty due to imprecise information about economic primitives? In a setting with many strategic firms, each…

A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…