相关论文: Computing Equilibria of Prediction Markets via Per…

The quest for understanding the complex phenomena of the world has led to the development of various fields of science, each with its own methods, models, and assumptions. However, sometimes these fields can intersect and inspire each…

Although machine learning tasks are highly sensitive to the quality of input data, relevant datasets can often be challenging for firms to acquire, especially when held privately by a variety of owners. For instance, if these owners are…

Explainably estimating confidence in published scholarly work offers opportunity for faster and more robust scientific progress. We develop a synthetic prediction market to assess the credibility of published claims in the social and…

In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…

It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…

Motivated by the goal of forecasting public sentiments, we consider a forecasting problem in the context of the Mean Field Games theory. We develop a numerical method, which is a version of the so-called convexification method. We provide…

There is currently a renewed interest in the Bayesian predictive approach to statistics. This paper offers a review on foundational concepts and focuses on predictive modeling, which by directly reasoning on prediction, bypasses inferential…

We study a Bayesian coordination game where agents receive private information on the game's payoff structure. In addition, agents receive private signals on each other's private information. We show that once agents possess these different…

This paper builds a model of interactive belief hierarchies to derive the conditions under which judging an arbitrage opportunity requires Bayesian market participants to exercise their higher-order beliefs. As a Bayesian, an agent must…

In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…

Stackelberg equilibrium is a solution concept that describes optimal strategies to commit: Player 1 (the leader) first commits to a strategy that is publicly announced, then Player 2 (the follower) plays a best response to the leader's…

Game theory has emerged as a powerful framework for modeling a large range of multi-agent scenarios. Many algorithmic solutions require discrete, finite games with payoffs that have a closed-form specification. In contrast, many real-world…

We consider the problem of rational uncertainty about unproven mathematical statements, remarked on by G\"odel and others. Using Bayesian-inspired arguments we build a normative model of fair bets under deductive uncertainty which draws…

Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…

A natural goal in multiagent learning besides finding equilibria is to learn rationalizable behavior, where players learn to avoid iteratively dominated actions. However, even in the basic setting of multiplayer general-sum games, existing…

We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…

An equilibrium is communication-proof if it is unaffected by new opportunities to communicate and renegotiate. We characterize the set of equilibria of coordination games with pre-play communication in which players have private preferences…

This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…