Essays on Network Games with Incomplete Information, with Applications in Finance PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Essays on Network Games with Incomplete Information, with Applications in Finance PDF full book. Access full book title Essays on Network Games with Incomplete Information, with Applications in Finance by Christian Matthew Leister. Download full books in PDF and EPUB format.
Author: Christian Matthew Leister
Publisher:
ISBN:
Category :
Languages : en
Pages : 200
Get Book Here
Book Description
This dissertations includes three (3) chapters, each adding to the growing network games literature that incorporates incomplete information. Financial over-the-counter markets give motivating applications. (1) "Trading Networks and Equilibrium Intermediation" studies the efficiency of trade in networks. A network of intermediaries facilitates exchange between buyers and a seller. Intermediary traders face a private trading cost, a network characterizes the set of feasible transactions, and an auction mechanism sets prices. Stable networks, which are robust to agents' collusive actions, exist when cost uncertainty is acute and multiple, independent trading relationships are valuable. A free-entry process governs the formation of equilibrium networks. Such networks feature too few intermediaries relative to the optimal market organization and they exhibit an asymmetric structure amplifying the shocks experienced by key intermediaries. (2) "Interdealer Trade: Risk, Liquidity, and the role of Market Inventory" further studies traders facing private shocks, placed in a dynamic setting. Trades between ex ante symmetric, inventory carrying intermediaries ("dealers") are motivated by divergent liquidity needs of the counter parties. Market prices and asset flows are pinned by dealers' indifference between providing intermediation services and retaining liquidity to be utilized in subsequent interdealer markets. More active interdealer markets simultaneously increase the value to intermediation and the option-value to providing these services. Under infrequent shocks, interdealer trade boosts the availability of liquidity in the broader market. This boost decays with market inventory, which serves as a constraint on interdealer activity. Through this market mechanism, prices vary inversely with both search frictions between dealers and on their total current holdings. (3) "Information Acquisition and Response in Peer-effects Networks" endogenizes the quality of information that market participants carry in a general peer effects model. When pairwise peer effects are symmetric, asymmetries in acquired information are inefficiently low relative to the utilitarian benchmark. And with information privately acquired, all players face strictly positive gains to overstating their informativeness as to strategically influence the beliefs and behaviors of neighbors. If strategic substitutes in actions are present and significant, low centrality players move against their signals in anticipation of their neighbors' actions. A blueprint for optimal policy design is developed. Applications to market efficiency in financial crises and two-sided markets are discussed.
Author: Christian Matthew Leister
Publisher:
ISBN:
Category :
Languages : en
Pages : 200
Get Book Here
Book Description
This dissertations includes three (3) chapters, each adding to the growing network games literature that incorporates incomplete information. Financial over-the-counter markets give motivating applications. (1) "Trading Networks and Equilibrium Intermediation" studies the efficiency of trade in networks. A network of intermediaries facilitates exchange between buyers and a seller. Intermediary traders face a private trading cost, a network characterizes the set of feasible transactions, and an auction mechanism sets prices. Stable networks, which are robust to agents' collusive actions, exist when cost uncertainty is acute and multiple, independent trading relationships are valuable. A free-entry process governs the formation of equilibrium networks. Such networks feature too few intermediaries relative to the optimal market organization and they exhibit an asymmetric structure amplifying the shocks experienced by key intermediaries. (2) "Interdealer Trade: Risk, Liquidity, and the role of Market Inventory" further studies traders facing private shocks, placed in a dynamic setting. Trades between ex ante symmetric, inventory carrying intermediaries ("dealers") are motivated by divergent liquidity needs of the counter parties. Market prices and asset flows are pinned by dealers' indifference between providing intermediation services and retaining liquidity to be utilized in subsequent interdealer markets. More active interdealer markets simultaneously increase the value to intermediation and the option-value to providing these services. Under infrequent shocks, interdealer trade boosts the availability of liquidity in the broader market. This boost decays with market inventory, which serves as a constraint on interdealer activity. Through this market mechanism, prices vary inversely with both search frictions between dealers and on their total current holdings. (3) "Information Acquisition and Response in Peer-effects Networks" endogenizes the quality of information that market participants carry in a general peer effects model. When pairwise peer effects are symmetric, asymmetries in acquired information are inefficiently low relative to the utilitarian benchmark. And with information privately acquired, all players face strictly positive gains to overstating their informativeness as to strategically influence the beliefs and behaviors of neighbors. If strategic substitutes in actions are present and significant, low centrality players move against their signals in anticipation of their neighbors' actions. A blueprint for optimal policy design is developed. Applications to market efficiency in financial crises and two-sided markets are discussed.
Author: Ziwei Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
The study of game theory has advanced our understanding of strategic interactions and economic behaviors. In applications, we economists often use parsimonious game-theoretic models to help us make sharp predictions. However, these models are associated with strong, sometimes unwarranted, common knowledge assumptions about players' payoffs and information. In order to make our predictions realistic and reliable, we need to embed these models into larger and more comprehensive ones, and then perform analysis that are robust to the relaxation of common knowledge assumptions. This dissertation contains three chapters that study various game-theoretic frameworks with incomplete information and investigate the implications of weakened assumptions. The first chapter proposes a new notion of stability to study matching markets with one-sided incomplete information. A key contribution is to formulate a proper definition of uninformed agents' endogenous beliefs and a self-consistency condition on those beliefs. We define a criterion of stability for a given set of outcomes, and then iteratively apply this criterion to remove outcomes that cannot be deemed stable. Our solution concept, the set of rationalizable stable outcomes, is the limit of this procedure. We prove the existence of rationalizable stable outcomes using a fixed-point characterization. We then provide two additional characterizations of our solution concept. The first characterization links the non-equilibrium approach we pursue to the equilibrium approach pioneered by Liu (2020). The second one reveals the epistemic assumptions implicit in the iterative definition. In the second chapter, we study standard auctions and compare their minimum expected revenues across all information structures. We show that, for a given symmetric common prior of values among bidders, if the seller is uncertain about the correct model of bidders' interim beliefs and evaluates her expected revenue by the worst-case scenario, the all-pay auction performs weakly worse than does the first-price auction. Specifically, we first provide a revenue equivalence result of standard auction formats under the "worst-case" information structure constructed in Bergemann et al. (2017a), which implies that the minimum expected revenue of the all-pay auction never exceeds that of a first-price auction. We then construct an example to illustrate that the all-pay auction can generate strictly lower expected revenue in some cases. The third chapter studies predictions that are robust against higher order payoff uncertainty in dynamic games. Common knowledge among players is captured by a preference-information structure, while a type space is used as a concise model of players' initial beliefs. We formulate an interim version of extensive form rationalizability (EFR) and use this solution concept as the starting point of our robustness analysis. Employing a collection-based approach, we provide conditions that fully characterize (i) what refinements of EFR are robust, (ii) when a Structure Theorem (Weinstein and Yildiz, 2007) of EFR holds, and (iii) when the prediction of EFR is generically unique. We then apply these results to study robust refinements of EFR when there is higher order uncertainty about privacy of information or about observability of actions. These applications demonstrate the power of our results and generate interesting observations in dynamic environments.
Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 776
Get Book Here
Book Description
Author: The late John F. Nash
Publisher: Edward Elgar Publishing
ISBN: 9781781956298
Category : Business & Economics
Languages : en
Pages : 116
Get Book Here
Book Description
'This short volume is very welcome . . . Most importantly, on pages 32-33, the volume reprints as an appendix to the journal article based on Nash's Princeton doctoral dissertation on non-cooperative games a section of the thesis on "motivation and interpretation" that was omitted from the article. An editorial note remarks mildly that "The missing section is of considerable interest". This section, not available in any other published source, makes the present volume indispensable for research libraries . . . Nash's Essays on Game Theory, dating from his years as a Princeton graduate student . . . has a lasting impact on economics and related fields unmatched by any series of articles written in such a brief time . . . To economists, his name will always bring to mind his game theory papers of the early 1950s. It is good to have these conveniently reprinted in this volume.' - Robert W. Dimand, The Economic Journal 'The news that John Nash was to share the 1994 Nobel Prize for Economics with John Harsanyi and Reinhard Selten was doubly welcome. It signalled not only that the brilliant achievements of his youth were to be recognized in a manner consistent with their significance, but that the long illness that clouded his later years had fallen into remission. I hope that this collection of his economic papers will serve as another reminder that John Nash has rejoined the intellectual community to which he has contributed so much.' - From the introduction by Ken Binmore Essays on Game Theory is a unique collection of seven of John Nash's essays which highlight his pioneering contribution to game theory in economics. Featuring a comprehensive introduction by Ken Binmore which explains and summarizes John Nash's achievements in the field of non-cooperative and cooperative game theory, this book will be an indispensable reference for scholars and will be welcomed by those with an interest in game theory and its applications to the social sciences.
Author: Tim Roughgarden
Publisher: Cambridge University Press
ISBN: 1316781178
Category : Computers
Languages : en
Pages : 356
Get Book Here
Book Description
Computer science and economics have engaged in a lively interaction over the past fifteen years, resulting in the new field of algorithmic game theory. Many problems that are central to modern computer science, ranging from resource allocation in large networks to online advertising, involve interactions between multiple self-interested parties. Economics and game theory offer a host of useful models and definitions to reason about such problems. The flow of ideas also travels in the other direction, and concepts from computer science are increasingly important in economics. This book grew out of the author's Stanford University course on algorithmic game theory, and aims to give students and other newcomers a quick and accessible introduction to many of the most important concepts in the field. The book also includes case studies on online advertising, wireless spectrum auctions, kidney exchange, and network management.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 978
Get Book Here
Book Description
Author: Daphne R. Raban
Publisher: Edward Elgar Publishing
ISBN: 1802203966
Category : Business & Economics
Languages : en
Pages : 579
Get Book Here
Book Description
The Elgar Companion to Information Economics dexterously navigates this interdisciplinary field of research which celebrates the crucial contribution of information to decision making, market dynamics, and economic well-being. Offering a wealth of conceptual analysis, this erudite Companion embarks on an intellectual journey exploring the fundamentals of information economics. This title contains one or more Open Access chapters.
Author: Oliver Roeder
Publisher: W. W. Norton & Company
ISBN: 1324003782
Category : History
Languages : en
Pages : 326
Get Book Here
Book Description
A group biography of seven enduring and beloved games, and the story of why—and how—we play them. Checkers, backgammon, chess, and Go. Poker, Scrabble, and bridge. These seven games, ancient and modern, fascinate millions of people worldwide. In Seven Games, Oliver Roeder charts their origins and historical importance, the delightful arcana of their rules, and the ways their design makes them pleasurable. Roeder introduces thrilling competitors, such as evangelical minister Marion Tinsley, who across forty years lost only three games of checkers; Shusai, the Master, the last Go champion of imperial Japan, defending tradition against “modern rationalism”; and an IBM engineer who created a backgammon program so capable at self-learning that NASA used it on the space shuttle. He delves into the history and lore of each game: backgammon boards in ancient Egypt, the Indian origins of chess, how certain shells from a particular beach in Japan make the finest white Go stones. Beyond the cultural and personal stories, Roeder explores why games, seemingly trivial pastimes, speak so deeply to the human soul. He introduces an early philosopher of games, the aptly named Bernard Suits, and visits an Oxford cosmologist who has perfected a computer that can effectively play bridge, a game as complicated as human language itself. Throughout, Roeder tells the compelling story of how humans, pursuing scientific glory and competitive advantage, have invented AI programs better than any human player, and what that means for the games—and for us. Funny, fascinating, and profound, Seven Games is a story of obsession, psychology, history, and how play makes us human.
Author: Ken Binmore
Publisher: Princeton University Press
ISBN: 1400833094
Category : Mathematics
Languages : en
Pages : 214
Get Book Here
Book Description
It is widely held that Bayesian decision theory is the final word on how a rational person should make decisions. However, Leonard Savage--the inventor of Bayesian decision theory--argued that it would be ridiculous to use his theory outside the kind of small world in which it is always possible to "look before you leap." If taken seriously, this view makes Bayesian decision theory inappropriate for the large worlds of scientific discovery and macroeconomic enterprise. When is it correct to use Bayesian decision theory--and when does it need to be modified? Using a minimum of mathematics, Rational Decisions clearly explains the foundations of Bayesian decision theory and shows why Savage restricted the theory's application to small worlds. The book is a wide-ranging exploration of standard theories of choice and belief under risk and uncertainty. Ken Binmore discusses the various philosophical attitudes related to the nature of probability and offers resolutions to paradoxes believed to hinder further progress. In arguing that the Bayesian approach to knowledge is inadequate in a large world, Binmore proposes an extension to Bayesian decision theory--allowing the idea of a mixed strategy in game theory to be expanded to a larger set of what Binmore refers to as "muddled" strategies. Written by one of the world's leading game theorists, Rational Decisions is the touchstone for anyone needing a concise, accessible, and expert view on Bayesian decision making.
Author: K. G. Binmore
Publisher: Oxford University Press
ISBN: 0195300572
Category : Business & Economics
Languages : en
Pages : 652
Get Book Here
Book Description
Ken Binmore's previous game theory textbook, Fun and Games (D.C. Heath, 1991), carved out a significant niche in the advanced undergraduate market; it was intellectually serious and more up-to-date than its competitors, but also accessibly written. Its central thesis was that game theory allows us to understand many kinds of interactions between people, a point that Binmore amply demonstrated through a rich range of examples and applications. This replacement for the now out-of-date 1991 textbook retains the entertaining examples, but changes the organization to match how game theory courses are actually taught, making Playing for Real a more versatile text that almost all possible course designs will find easier to use, with less jumping about than before. In addition, the problem sections, already used as a reference by many teachers, have become even more clever and varied, without becoming too technical. Playing for Real will sell into advanced undergraduate courses in game theory, primarily those in economics, but also courses in the social sciences, and serve as a reference for economists.
