相关论文: Designing Informative Securities

Stablecoins have historically depegged due from par to large sales, possibly of speculative nature, or poor reserve asset quality. Using a global game which addresses both concerns, we show that the selling pressure on stablecoin holders…

We study how information perturbations can destabilize two-sided matching markets. In our model, agents arrive on the market over two periods, while agents in the first period do not know the types of those arriving later. Agents already…

The academic job market for new statisticians is highly congested at the interview stage, where departments must rank and select candidates from large applicant pools without credible signals of candidate interest. As a result, interviews…

We consider a queue with an unobservable backlog by the incoming users. There is an information designer that observes the queue backlog and makes recommendations to the users arriving at the queue whether to join or not to join the queue.…

Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information…

Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an investment context where market…

This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…

We investigate asymmetry of information in the context of robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and…

Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial, sometimes causes unexpected large impacts and…

In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market…

We study multi-product monopoly pricing where the seller jointly designs the selling mechanism and the information structure for the buyer to learn his values. Unlike the case with exogenous information, we show that when the seller…

Socio-technical design embeds social investigations and inquiries into (Information) Technology Design processes. In this position paper, we propose, by using the aforementioned approach the design of technology and policies can…

We propose an incentive mechanism for the sponsored content provider market in which the communication of users can be represented by a graph and the private information of the users is assumed to have a continuous distribution function.…

Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate…

We introduce a model for a market based economic system of cyber-risk valuation to correct fundamental problems of incentives within the information technology and information processing industries. We assess the makeup of the current day…

We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The…

There has been considerable work on reasoning about the strategic ability of agents under imperfect information. However, existing logics such as Probabilistic Strategy Logic are unable to express properties relating to information…

Information sharing among organizations has been gaining attention as a method for improving cybersecurity. However, the associated disclosure costs act as deterrents for firms' voluntary cooperation. In this work, we take a game-theoretic…

We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity. We proceed into two steps. First we use a quantization method to select the options…

Strategic information disclosure, in its simplest form, considers a game between an information provider (sender) who has access to some private information that an information receiver is interested in. While the receiver takes an action…