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Author: Zachary Eugene Dorobiala
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Category : Electronic dissertations
Languages : en
Pages : 0
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Many economic decisions are made under conditions of uncertainty, specifically decisions where the exact probabilities associated with specific outcomes are unknown. The formal study of ambiguity dates back to Ellsberg's famous thought experiment that shed light on the difference between risk (known uncertainty) and ambiguity (unknown uncertainty). His study showed that decision-makers treat betting on events with known uncertainty differently than those with unknown uncertainty. My work expands the applications of these approaches to economic activities to provide more predictive insights into behavior. Chapter 1 employs experimental methods to examine the effect of exogenous ambiguity on price dispersion and price levels in an asymmetric, two-firm market. This market contains two types of consumers- informed consumers, who purchase the good from the lowest priced firm, and uninformed consumers, who buy from the firm to whom they are brand loyal. In this market, ambiguity is exogenously placed on the share of uninformed consumers. This ambiguity about the uninformed consumer is presented to the firms as an unknown distribution over an interval of potential consumers. The behavioral results reveal empirical evidence that ambiguity affects duopoly pricing markets. Chapter 2 again relies on laboratory experiments to examine strategic ambiguity in two-person games. The three strategic games include: a modified dominant-strategy Tullock contest, a Minimum-effort Coordination game, and a classic zero-sum Rock-Paper-Scissors game. In each setting, we collected the player's beliefs about what their opponent will play and the player's actual choice within each game. Additionally, including a non-strategic setting, a three-color Ellsberg urn task, to play the role of a non-strategic analog to the Rock-Paper-Scissors game. Within these four settings, we examine and find stable ambiguity attitudes and varying perceptions of ambiguity. Chapter 3 explores global excess returns using naturally occurring international asset pricing data. We decompose the excess market return into a speculation (sentiment) and a non-speculation (risk) component. This decomposition enables us to make four main contributions to sources of risk in global equity markets. The results are borne out in regressions where we test each separately and jointly in kitchen sink regressions.
Author: Zachary Eugene Dorobiala
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 0
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Book Description
Many economic decisions are made under conditions of uncertainty, specifically decisions where the exact probabilities associated with specific outcomes are unknown. The formal study of ambiguity dates back to Ellsberg's famous thought experiment that shed light on the difference between risk (known uncertainty) and ambiguity (unknown uncertainty). His study showed that decision-makers treat betting on events with known uncertainty differently than those with unknown uncertainty. My work expands the applications of these approaches to economic activities to provide more predictive insights into behavior. Chapter 1 employs experimental methods to examine the effect of exogenous ambiguity on price dispersion and price levels in an asymmetric, two-firm market. This market contains two types of consumers- informed consumers, who purchase the good from the lowest priced firm, and uninformed consumers, who buy from the firm to whom they are brand loyal. In this market, ambiguity is exogenously placed on the share of uninformed consumers. This ambiguity about the uninformed consumer is presented to the firms as an unknown distribution over an interval of potential consumers. The behavioral results reveal empirical evidence that ambiguity affects duopoly pricing markets. Chapter 2 again relies on laboratory experiments to examine strategic ambiguity in two-person games. The three strategic games include: a modified dominant-strategy Tullock contest, a Minimum-effort Coordination game, and a classic zero-sum Rock-Paper-Scissors game. In each setting, we collected the player's beliefs about what their opponent will play and the player's actual choice within each game. Additionally, including a non-strategic setting, a three-color Ellsberg urn task, to play the role of a non-strategic analog to the Rock-Paper-Scissors game. Within these four settings, we examine and find stable ambiguity attitudes and varying perceptions of ambiguity. Chapter 3 explores global excess returns using naturally occurring international asset pricing data. We decompose the excess market return into a speculation (sentiment) and a non-speculation (risk) component. This decomposition enables us to make four main contributions to sources of risk in global equity markets. The results are borne out in regressions where we test each separately and jointly in kitchen sink regressions.
Author: Huseyin Yildirim
Publisher:
ISBN:
Category :
Languages : en
Pages : 186
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Author: Gaines S. Hubbell
Publisher: McFarland
ISBN: 147666837X
Category : Games & Activities
Languages : en
Pages : 292
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Book Description
What is a videogame? What makes a videogame "good"? If a game is supposed to be fun, can it be fun without a good story? If another is supposed to be an accurate simulation, does it still need to be entertaining? With the ever-expanding explosion of new videogames and new developments in the gaming world, questions about videogame criticism are becoming more complex. The differing definitions that players and critics use to decide what a game is and what makes a game successful, often lead to different ideas of how games succeed or fail. This collection of new essays puts on display the variety and ambiguity of videogames. Each essay is a work of game criticism that takes a different approach to defining the game and analyzing it. Through analysis and critical methods, these essays discuss whether a game is defined by its rules, its narrative, its technology, or by the activity of playing it, and the tensions between these definitions. With essays on Overwatch, Dark Souls 3, Far Cry 4, Farmville and more, this collection attempts to show the complex changes, challenges and advances to game criticism in the era of videogames.
Author: Aaron Luke Bodoh-Creed
Publisher:
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Category :
Languages : en
Pages :
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The focus of this dissertation is the role of information in the determination of market outcomes. The first essay provides a novel framework for studying large market mechanisms with an application to the information aggregation properties of uniform price auctions. The second essay analyzes a model of mood and associative memory and shows that this bias could explain anomalous results in the behavioral finance and organizational behavior literatures. The third and final essay analyzes ambiguity aversion and how it affects outcomes in general mechanisms. The first essay, "Mean Field Approximation of Large Games, " provides a general framework for approximating the equilibria of games with many participants using analytically tractable nonatomic limit games. We prove that if the game is continuous, then the set of equilibria is upper hemicontinuous in the number of agents. This implies that we can use equilibrium strategies of the limit game as an approximation of the equilibrium actions of the agents in the large finite game. We argue that this continuity property implies that generic large, continuous markets are almost competitive in the limit. We use our framework to analyze multi-unit demand uniform price auctions with both a common value component and bidders who value successive units as complements. We show that these auctions fully reveal the state of the world asymptotically and result in ex post efficient allocations with arbitrarily high probability in the asymptotic limit. As a second application, we provide a framework for approximating large stochastic games using dynamic competitive equilibria with applications to macroeconomics, industrial organization, engineering and computer science. The second essay, "Mood and Associative Memory, " examines the biases in memory caused by an agent's affective state. Within the psychology literature, it is a well established fact that decision makers in a positive emotional state are optimistic about the odds of positive random events and agents in a negative emotional state are pessimistic. By building a mathematical model firmly grounded on psychological primitives, we develop a behavioral decision theory framework that can be utilized in a wide range of microeconomic models. We apply our model to study employee morale and clarify a severely conflicted literature on morale within the Organizational Behavior literature. We also show that biases in memory are a potential explanation for a wide range of asset pricing anomalies such as excess volatility, short run underreaction and long run overreaction to news, and the influence of non-fundamental events. Our model provides a tool for policy makers to analyze the effects of biases in memory on the response of agents to firms, markets, and government policies and can be used to identify situations in which either public or private intervention may be required to ameliorate the effects of the agents' errors in judgment. The third and final essay, "Ambiguous Beliefs and Mechanism Design, " explores the effects of ambiguity aversion, also known as Knightian Uncertainty, on mechanism design theory. Knightian uncertainty refers to risk within the economy that is not characterized by a stochastic process commonly known to the agents. Compelling psychological data, such as the classical Ellsberg Paradox, have shown that agents reveal a strong aversion to Knightian Uncertainty above and beyond the risk aversion considered in neoclassical microeconomic theory. Policy makers ought to be especially concerned about the effects of ambiguity aversion, neglected in traditional studies of mechanism and market design, in situations where the agents are unfamiliar with the mechanism and the economic environment the mechanism creates. We unify the Multiple Prior Expected Utility (MEU) model of ambiguity aversion with the tools of contract theory to provide a general framework to analyze the effects of ambiguity aversion in market settings and use these tools to assess the effect of ambiguity aversion on auctions and bargaining problems. We show that the first and second price auction cannot be ranked when the agents are ambiguity averse, derive the optimal auction format, and study the effects of ambiguity on auction entry. We also prove that ambiguity aversion can be efficiency enhancing in ex ante budget balanced mechanisms and revenue enhancing in ex post efficient bargaining mechanisms.
Author: Andreas Blume
Publisher:
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Category : Game theory
Languages : en
Pages : 292
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Author: Marco Mariotti
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Category :
Languages : en
Pages :
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Author: Lan Sun
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Languages : en
Pages :
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Author: Joshua Mollner
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Languages : en
Pages :
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Trading in financial markets has changed dramatically over the past decade: it has become largely automated and orders of magnitudes faster, and it has become spread out across many venues. Chapters 1 and 2 of this dissertation investigate how this transformation has affected market outcomes. Chapter 1 studies the effect of speed on market outcomes in a setting where information acquisition is endogenous. An increase in trading speed crowds out information acquisition by reducing the gains from trading against mispriced quotes. Thus, faster speeds have two effects on traditional measures of market performance. First, the bid-ask spread declines, since there are fewer informational asymmetries. Second, price efficiency deteriorates, since less information is available to be incorporated into prices. A tradeoff exists between the dual objectives of minimizing the bid-ask spread and maximizing price efficiency. We characterize the frontier of this tradeoff and evaluate several trading mechanisms within this framework. Despite its popularity, the limit order book mechanism generally does not induce outcomes on this frontier. We consider two alternatives: first, a small delay added to the processing of all orders except cancellations, and second, frequent batch auctions. Both induce equilibrium outcomes on this frontier. Chapter 2 investigates how an increase in the number of exchanges affects the bid-ask spread. The welfare consequences of increased exchange competition are theoretically ambiguous. While competition does place downward pressure on the bid-ask spread, this force may be outweighed by increased adverse selection that stems from additional arbitrage opportunities. We investigate this ambiguity empirically by estimating key parameters of the model using detailed trading data from Australia. The benefits of increased competition are outweighed by the costs of multi-venue arbitrage. Compared to the prevailing duopoly, we predict that the counterfactual spread under a monopoly would be 23 percent lower. Further, market design variations on the continuous limit order book would eliminate profits from cross-venue arbitrage strategies and reduce the spread by 51 percent. Finally, eliminating off-exchange trades, so-called dark trading, would reduce the spread by 11 percent. Chapter 3 introduces two new equilibrium refinements for finite normal form games. Both refinements incorporate the intuitive idea that a costless deviation by one player is more likely than a costly deviation by the same or another player. These refinements lead to new restrictions in games with three or more players. Furthermore, these refinements are applied to two well-known auction games: the generalized second price auction and the first-price menu auction. Both refinements select interesting equilibria in these games, and may be interpreted as providing a strategic foundation for the selections that others have made.
Author: So Eun Park
Publisher:
ISBN:
Category :
Languages : en
Pages : 93
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In economics, players are assumed to be rational: they exhibit self interested behavior and play equilibrium strategies. However, in laboratory games or actual markets, players often manifest behavior that is rather consistent with bounded rationality. This thesis consists of two chapters, which relax the standard assumptions on rationality and allow for bounded rationality of players. The first essay weakens the assumption that players are self interested. In this essay, a retail market is empirically investigated under the relaxed assumption that firms may not be purely self interested or profit maximizing. Standard models of price competition stipulate that firms are pure profit maximizers; this assumption can be sensible and empirically useful in inferring product markups in a market with no direct government intervention. However, in markets for essential goods such as food and healthcare, a government may wish to address its consumer surplus concerns by imposing regulatory constraints or actively participating as a player in the market. As a consequence, some firms may have objectives beyond profit maximization and standard models may induce systematic biases in empirical estimation. This essay develops the structural model of price competition where some firms have consumer surplus concerns. Our model is applied in order to understand demand and supply behaviors in a retail grocery market where the dominant retailer publicly declares its consumer surplus objective. Our estimation results show that the observed low prices of this retailer arise indeed as a consequence of its consumer surplus concerns instead of its low marginal costs. The estimated degree of consumer surplus concerns suggests that the dominant retailer weighs consumer surplus to profit in a 1 to 7 ratio. The counterfactual analysis reveals that if the dominant retailer were to be profit maximizing as in the standard model, its prices would increase by 6.09% on average. As a consequence, its profit would increase by 1.16% and total consumer surplus would decrease by 7.18%. To the contrary, competitors lower their prices in response to the dominant retailer's increased prices, i.e., become less aggressive as if they are strategic substitutes. Interestingly, even though profit of all firms increases, total social surplus would decrease by 3.21% suggesting that profit maximization by all firms induces an inefficient outcome for the market. The second essay relaxes the rationality assumption that players exhibit equilibrium behavior, and develops a model that explains nonequilibrium behavior of players in laboratory games. In standard nonequilibrium models of iterative thinking, there is a fixed rule hierarchy and every player chooses a fixed rule level; nonequilibrium behavior emerges when some players do not perform enough thinking steps. Existing approaches however are inherently static. In this essay, we generalize models of iterative thinking to incorporate adaptive and sophisticated learning. Our model has three key features. First, the rule hierarchy is dynamic, i.e., the action that corresponds to each rule level can evolve over time depending on historical game plays. Second, players' rule levels are dynamic. Specifically, players update beliefs about opponents' rule levels in each round and change their rule level in order to maximize payoff. Third, our model accommodates a continuous rule hierarchy, so that every possible observed action can be directly interpreted as a real-numbered rule level r. The proposed model unifies and generalizes two seemingly distinct streams of nonequilibrium models (level-k and belief learning models) and as a consequence nests several well-known nonequilibrium models as special cases. When both the rule hierarchy and players' rule levels are fixed, we have a static level-r model (which generalizes the standard level-k model). When only players' rule levels are fixed, our model reduces to a static level-r model with dynamic rule hierarchy and captures adaptive learning. When only the rule hierarchy is fixed, our model reduces to a dynamic level-r model and captures sophisticated learning. Since our model always converges to the iterative dominance solution, it can serve as a model of the equilibration process. Using experimental data on p-beauty contests, we show that our model describes subjects' dynamic behavior better than all its special cases. In addition, we collect new experimental data on a generalized price matching game. The estimation results show that it is crucial to allow for both adaptive and sophisticated learning in predicting dynamic choice behaviors across games.
Author: Niko Noeske
Publisher:
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Category :
Languages : en
Pages : 0
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