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Prediction and Stochastic Choice 预测与随机选择
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2019-04-20 DOI: 10.2139/ssrn.3338991
Pathikrit Basu
{"title":"Prediction and Stochastic Choice","authors":"Pathikrit Basu","doi":"10.2139/ssrn.3338991","DOIUrl":"https://doi.org/10.2139/ssrn.3338991","url":null,"abstract":"In this paper, we study a non-parametric approach to prediction in stochastic choice models in economics. We show that VC complexity characterises the predictability of stochastic choice models. We establish prediction methods and provide corresponding rates of convergence.<br>","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124962556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Dynamic Valuation of Callable Contingent Claims With a Partially Observable Regime Switch 具有部分可观察状态切换的可赎回或有债权的动态估值
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2018-11-14 DOI: 10.2139/ssrn.3284489
Kimitoshi Sato, K. Sawaki
{"title":"The Dynamic Valuation of Callable Contingent Claims With a Partially Observable Regime Switch","authors":"Kimitoshi Sato, K. Sawaki","doi":"10.2139/ssrn.3284489","DOIUrl":"https://doi.org/10.2139/ssrn.3284489","url":null,"abstract":"In this paper, we consider a model for valuing callable financial securities when the underlying asset price dynamic is unobservable but can be partially observed by receiving a signal stochastically related to the state of the real economy. In callable securities, both the issuer and the investor have the right to call. We formulate this problem as a coupled stochastic game for the optimal stopping problem within a partially observable Markov decision process. We show that there exists a unique optimal value for the callable contingent claim, and it is a unique fixed point of a contraction mapping. We derive analytical properties of the optimal stopping rules for the issuer and the investor under two types (put and call) of general payoff functions. We provide a numerical example to illustrate specific stopping boundaries for each player; this is done by specifying the payoff function of the callable securities.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130261662","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Exploration vs Exploitation, Impulse Balance Equilibrium, and a Specification Test for the El Farol Bar Problem 勘探与开发、脉冲平衡平衡和El Farol Bar问题的规范检验
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2018-08-16 DOI: 10.2139/ssrn.3233147
A. Kirman, François Laisney, Paul Pezanis-Christou
{"title":"Exploration vs Exploitation, Impulse Balance Equilibrium, and a Specification Test for the El Farol Bar Problem","authors":"A. Kirman, François Laisney, Paul Pezanis-Christou","doi":"10.2139/ssrn.3233147","DOIUrl":"https://doi.org/10.2139/ssrn.3233147","url":null,"abstract":"The paper reports on market-entry experiments that manipulate both payoff structures and payoff levels to assess two stationary models of behaviour: Exploration vs Exploitation (EvE, which is equivalent to Quantal Response Equilibrium) and Impulse Balance Equilibrium (IBE). These models explain the data equally well in terms of goodness-of-fit whenever the observed probability of entry is less than the symmetric Nash equilibrium prediction; otherwise IBE marginally outperforms EvE. When assuming agents playing symmetric strategies, and estimating the models with session data, IBE yields more theory-consistent estimates than EvE, no matter the payoff structure or level. However, the opposite occurs when the symmetry assumption is relaxed. The conduct of a specification test rejects the validity of the restrictions on entry probabilities imposed by EvE for agents with symmetric strategies, in 50 to 75% of sessions and it always rejects it in the case of IBE, which indicates that the symmetric variant of these models has little empirical support.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131657072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pushing Through or Slacking Off? Heterogeneity in the Reaction to Rank Feedback 坚持到底还是懈怠?等级反馈反应的异质性
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2018-04-16 DOI: 10.2139/ssrn.3163498
Florian Hett, Felix Schmidt
{"title":"Pushing Through or Slacking Off? Heterogeneity in the Reaction to Rank Feedback","authors":"Florian Hett, Felix Schmidt","doi":"10.2139/ssrn.3163498","DOIUrl":"https://doi.org/10.2139/ssrn.3163498","url":null,"abstract":"This paper studies heterogeneity in the reaction to rank feedback. In a laboratory experiment, individuals take part in a series of dynamic real-effort contests with intermediate feedback. To solve the identification problem in estimating the causal effect of rank feedback on subsequent effort provision we implement a random multiplier in the first round of each contest. The realization of this multiplier then serves as a valid instrument for rank feedback. While rank feedback has a robust effect on subsequent effort provision on average, an explicit analysis of between-subject heterogeneity reveals that a substantial fraction of participants in fact react entirely opposite than the aggregated results indicate. We further show that this heterogeneity has consequences for overall outcomes, thereby arguing that heterogeneous sensitivities to rank feedback could have implications for the design of various policies in education and organizations.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127732591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
On the Weights of Sovereign Nations 论主权国家的权重
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2018-01-31 DOI: 10.2139/ssrn.3065877
Antonin Macé, Rafael Treibich
{"title":"On the Weights of Sovereign Nations","authors":"Antonin Macé, Rafael Treibich","doi":"10.2139/ssrn.3065877","DOIUrl":"https://doi.org/10.2139/ssrn.3065877","url":null,"abstract":"We study the design of voting rules for committees representing heterogeneous groups (countries, states, districts) when cooperation among groups is voluntary. While efficiency recommends weighting groups proportionally to their stakes, we show that accounting for participation constraints entails overweighting some groups, those for which the incentive to cooperate is the lowest. When collective decisions are not enforceable, cooperation induces more stringent constraints that may require granting veto power to certain groups. In the benchmark case where groups differ only in their population size (i.e, the apportionment problem), the model provides a rationale for setting a minimum representation for smaller groups.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123176365","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Repeated Network Games 重复网络游戏
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2017-06-01 DOI: 10.2139/ssrn.3087089
Yangbo Song, M. van der Schaar
{"title":"Repeated Network Games","authors":"Yangbo Song, M. van der Schaar","doi":"10.2139/ssrn.3087089","DOIUrl":"https://doi.org/10.2139/ssrn.3087089","url":null,"abstract":"Three kinds of activities happen in a network: agents link or unlink; agents act; agents observe and learn. The existing literature on network formation, on network games and on monitoring and learning in networks studies each of these in isolation. We propose a framework in which these happen together. In our model, agents repeatedly choose to whom they link and the actions they take with those to whom they are linked. Agents learn by observing links, actions of those to whom they are linked and (perhaps) from a public signal. We define a repeated network game and an equilibrium of this game. An essential feature is that the network formed and hence the games played are determined endogenously and may be different at each moment of time. Equilibrium networks and equilibrium actions are strongly inter-dependent. Under assumptions we prove a Network Folk Theorem that (almost) characterizes the networks and action pro files that can be sustained in the steady-state of the network formation game. We also show endogenously formed networks with the associated action pro les often yield a higher social welfare than exogenously prescribed ones. We also highlight the importance of having an informative monitoring structure, and show that in its absence cooperation in sparse networks may fail even when agents are very patient.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126678770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
We Can Cooperate Even When the Monitoring Structure Will Never Be Known 即使不知道监控结构，我们也可以合作
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2017-04-08 DOI: 10.2139/SSRN.2969936
Y. Yamamoto
{"title":"We Can Cooperate Even When the Monitoring Structure Will Never Be Known","authors":"Y. Yamamoto","doi":"10.2139/SSRN.2969936","DOIUrl":"https://doi.org/10.2139/SSRN.2969936","url":null,"abstract":"This paper considers infinite-horizon stochastic games with hidden states and hidden actions. The state changes over time, players observe only a noisy public signal about the state each period, and actions are private information. In this model, uncertainty about the monitoring structure does not disappear. We show how to construct an approximately efficient equilibrium in a repeated Cournot game. Then we extend it to a general case and obtain the folk theorem using ex-post equilibria under a mild condition.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132745072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Conflict in the Shadow of Conflict 冲突阴影下的冲突
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2016-12-30 DOI: 10.23895/KDIJEP.2016.38.4.95
S. Bang, Jaesoo Kim
{"title":"Conflict in the Shadow of Conflict","authors":"S. Bang, Jaesoo Kim","doi":"10.23895/KDIJEP.2016.38.4.95","DOIUrl":"https://doi.org/10.23895/KDIJEP.2016.38.4.95","url":null,"abstract":"We study how an advantage given to an interim winner in sequential conflicts characterizes dynamic competition between players and influences their payoffs. As the intensity of competition during each period is negatively correlated, perfect security is not necessarily desirable for contending parties. We present results which are widely applicable to various types of dynamic competition, where competition in each period is linked to the interim winner’s relative advantage. Policy implications are also discussed in a variety of areas, and several extensions are explored.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128654591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Near-Efficient Allocation Using Artificial Currency in Repeated Settings 在重复设置中使用人工货币的近有效分配
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2016-10-15 DOI: 10.2139/ssrn.2852895
Artur Gorokh, Siddhartha Banerjee, Krishnamurthy Iyer
{"title":"Near-Efficient Allocation Using Artificial Currency in Repeated Settings","authors":"Artur Gorokh, Siddhartha Banerjee, Krishnamurthy Iyer","doi":"10.2139/ssrn.2852895","DOIUrl":"https://doi.org/10.2139/ssrn.2852895","url":null,"abstract":"We study the design of mechanisms without money for repeated allocation of resources among competing agents. Such mechanisms are gaining widespread use in allocating physical and/or computing resources in universities and companies, and also distributing of public goods like vaccines among hospitals and food donations among food banks. We consider repeated allocation mechanisms based on artificial currencies, wherein we first allot each agent a chosen endowment of credits, which they can then use over time to bid for the item in a chosen auction format. Our main contribution is in showing that a simple mechanism, based on a repeated all-pay auction with personalized endowments and static pricing rules, simultaneously guarantees vanishing gains from non-truthful bidding as well as vanishing loss in efficiency. Our work lies at the intersection of dynamic mechanism design and mechanisms without money, and the techniques we develop here may prove of independent interest in these settings.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134643334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
The Effect of Sequentiality and Heterogeneity in Network Formation Games 序列性和异质性对网络形成博弈的影响
ERN: Stochastic & Dynamic Games (Topic) Pub Date : 2016-09-15 DOI: 10.2139/ssrn.2840675
Liza Charroin
{"title":"The Effect of Sequentiality and Heterogeneity in Network Formation Games","authors":"Liza Charroin","doi":"10.2139/ssrn.2840675","DOIUrl":"https://doi.org/10.2139/ssrn.2840675","url":null,"abstract":"In the benchmark model of Bala and Goyal (2000) on network formation, the equilibrium network is asymmetric and unfair as agents have different payoffs. While they are prominent in reality, asymmetric networks do not emerge in the lab mainly because of fairness concerns. We extend this model with a sequential linking decision process to ease coordination and with heterogeneous agents. Heterogeneity is introduced with the presence of a special agent who has either a higher monetary value or a different status. The equilibrium is asymmetric and unfair. Our experimental results show that thanks to sequentiality and fairness concerns, individuals coordinate on fair and efficient networks in homogeneous settings. Heterogeneity impacts the network formation process by increasing the asymmetry of networks but does not decrease the level of fairness nor efficiency.","PeriodicalId":319981,"journal":{"name":"ERN: Stochastic & Dynamic Games (Topic)","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132459250","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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