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The buying and selling of information is taking place at a scale unprecedented in the history of commerce, thanks to the formation of online marketplaces for user data. Data providing agencies sell user information to advertisers to allow…

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…

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…

This paper studies optimal mechanisms for collecting and trading data. Consumers benefit from revealing information about their tastes to a service provider because this improves the service. However, the information is also valuable to a…

A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…

I consider the monopolistic pricing of informational good. A buyer's willingness to pay for information is from inferring the unknown payoffs of actions in decision making. A monopolistic seller and the buyer each observes a private signal…

This study extends Blackwell's (1953) comparison of information to a sequential social learning model, where agents make decisions sequentially based on both private signals and the observed actions of others. In this context, we introduce…

Data buyers compete in a game of incomplete information about which a single data seller owns some payoff-relevant information. The seller faces a joint information- and mechanism-design problem: deciding which information to sell, while…

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)…

We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action; pay a fee and obtain additional information; or wait without acquiring…

We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…

The $\textit{data market design}$ problem is a problem in economic theory to find a set of signaling schemes (statistical experiments) to maximize expected revenue to the information seller, where each experiment reveals some of the…

How do we assign value to economic transactions? To answer this question, we must consider whether the value of objects is inherent, is a product of social interaction, or involves other mechanisms. Economic theory predicts that there is an…

A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…

In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…

We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…

We undertake a formal study of the value of targeting data to an advertiser. As expected, this value is increasing in the utility difference between realizations of the targeting data and the accuracy of the data, and depends on the…

We study how to allocate resources to participants who can strategically misrepresent their deservingness at a cost. A principal assigns item(s) (or money) among multiple agents on the basis of their costly signals. Each agent's signal…

Information in the form of data, which can be stored and transferred between users, can be viewed as an intangible commodity, which can be traded in exchange for money. Determining the fair price at which a string of data should be traded…

We study the algorithmic problem faced by an information holder (seller) who wants to optimally sell such information to a budged-constrained decision maker (buyer) that has to undertake some action. Differently from previous, we consider…