We study forecast dispersion in a finite-player forecasting game modeled as an aggregate game with payoff externalities and dispersed information. In the game, each agent cares about being accurate as well as about the distance of his forecast from the average forecast; and with a finite number...

This paper proposes Thompson Sampling as a unifying and tractable theory of expectation formation, which is in line with theories of the brain. Thompson Sampling means that in uncertain environments, agents update their beliefs in a Bayesian way, and subsequently make a random draw from the...

Traditional unobserved component models assume that the trend, cycle and seasonal components of an individual time series evolve separately over time. Although this assumption has been relaxed in recent papers that focus on trend-cycle interactions, it remains at the core of all seasonal...

Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the...

We investigate the possibility of statistical evaluation of the market completeness for discrete timestock market models. It is known that the market completeness isnot a robust property: small random deviations of the coefficientsconvert a complete market model into a incomplete one. The...

In this article, we consider a solution to the problem of fair distribution of ice cream. This task is a canonical problem discussed in the theory of cooperative games. Although the above-described problem is well known, we propose the simplest approach to its solution. We also compare the...

We set up a model of costly information production between two lobbies, a firm and a consumer group, competing for influence over an imperfectly informed but benevolent government. The government is endowed with a parametric amount of information and chooses the best policy from a finite,...

In this paper we study hedonic coalition formation games in which players' preferences over coalitions are induced by a semi-value of a monotonic simple game with veto control. We consider partitions of the player set in which the winning coalition contains the union of all minimal winning...