A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper addresses how to complete incomplete risk markets by iteratively enhancing welfare.
The paper develops an economic foundation for multi-agent learning in markets.
The paper starts with a brief review of present understanding of income distributions; especially with regard to recent work in the field of econophysics that draws parallels between income, wealth and energy distributions. Examples of alternative energy distributions found in physical systems are discussed, and how th…
New framework improves cost-benefit analysis of policies.
Although both systems analyzed are described through two theories apparently different (quantum mechanics and game theory) it is shown that both are analogous and thus exactly equivalents. The quantum analogue of the replicator dynamics is the von Neumann equation. Quantum mechanics could be used to explain more correc…
We analyze a conservative market model for the competition among economic agents in a close society. A minimum dynamics ensures that the poorest agent has a chance to improve its economic welfare. After a transient, the system self-organizes into a critical state where the wealth distribution have a minimum threshold, …
By analyzing the relationships between a socioeconomical system modeled through evolutionary game theory and a physical system modeled through quantum mechanics we show how although both systems are described through two theories apparently different both are analogous and thus exactly equivalents. The extensions of qu…
A four-pronged approach to dealing with Social Science Phenomenon is outlined. This methodology is applied to Financial Services, Economic Growth and Well-Being. The four prongs are like the four directions for an army general looking for victory. Just like the four directions, we need to be aware that there is a degre…
The paper tackles fair policy targeting by optimizing allocation rules to minimize unfairness.
Now that machine learning algorithms lie at the center of many resource allocation pipelines, computer scientists have been unwittingly cast as partial social planners. Given this state of affairs, important questions follow. What is the relationship between fairness as defined by computer scientists and notions of soc…
Our work extends Coase's theorem to settings with uncertainty, showing how to maximize social welfare through property rights and learning.
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two different approaches we show that inefficiency increases the consumption set of a …
This paper identifies and analyzes biases in risk-adjusted index weighting methods, affecting social welfare and market fairness.
In an economy with asymmetric information, the smart contract in the blockchain protocol mitigates uncertainty. Since, as a new trading platform, the blockchain triggers segmentation of market and differentiation of agents in both the sell and buy sides of the market, it recomposes the asymmetric information and genera…
Linear stochastic models and discretized kinetic theory are two complementary analytical techniques used for the investigation of complex systems of economic interactions. The former employ Langevin equations, with an emphasis on stock trade; the latter is based on systems of ordinary differential equations and is bett…
AI framework for automated policy-making connects with econometrics and social choice.
We extend return extrapolation to incorporate asymmetry and saturation, finding that asymmetric nonlinear extrapolation leads to lower welfare loss.
We consider a multi-armed bandit problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditi…
Study recovers investor preferences from portfolio data using synthetic data and robust optimization.
This paper introduces metrics for welfare analysis in dynamic models. We develop estimation and inference for these parameters even in the presence of a high-dimensional state space. Examples of welfare metrics include average welfare, average marginal welfare effects, and welfare decompositions into direct and indirec…
We analyze the relationships between game theory and quantum mechanics and the extensions to statistical physics and information theory. We use certain quantization relationships to assign quantum states to the strategies of a player. These quantum states are contained in a density operator which describes the new quan…
We present a simplified model for the exploitation of finite resources by interacting agents, where each agent receives a random fraction of the available resources. An extremal dynamics ensures that the poorest agent has a chance to change its economic welfare. After a long transient, the system self-organizes into a …
Statistical evaluations of the economic mobility of a society are more difficult than measurements of the income distribution, because they require to follow the evolution of the individuals' income for at least one or two generations. In micro-to-macro theoretical models of economic exchanges based on kinetic equation…
AI-driven tax policies improve economic equality and productivity.
Current methodologies in machine learning analyze the effects of various statistical parity notions of fairness primarily in light of their impacts on predictive accuracy and vendor utility loss. In this paper, we propose a new framework for interpreting the effects of fairness criteria by converting the constrained lo…
New framework tackles submodular welfare with multi-agent combinatorial bandits.
The paper tackles adaptive policy selection to maximize social welfare, achieving optimal regret bounds.
The relationships between game theory and quantum mechanics let us propose certain quantization relationships through which we could describe and understand not only quantum but also classical, evolutionary and the biological systems that were described before through the replicator dynamics. Quantum mechanics could be…
The paper automates policy learning for nonlinear welfare criteria using machine learning and debiasing techniques.
Paper formalizes multi-dimensional FSD using geometric methods.
New job recommendation system improves job seekers' welfare through field experiments.
Investors suffer welfare loss despite having better information.
Understanding consumption dynamics and its impact on the whole economy and welfare within the present economic crisis is not an easy task. Indeed the level of consumer demand for different goods varies with the prices, consumer incomes and demographic factors. Furthermore crisis may trigger different behaviors which re…
Graph neural networks detect collusion patterns across markets.
A new model uses neural networks for consistent discrete choice analysis.
We map the recently proposed notions of algorithmic fairness to economic models of Equality of opportunity (EOP)---an extensively studied ideal of fairness in political philosophy. We formally show that through our conceptual mapping, many existing definition of algorithmic fairness, such as predictive value parity and…
UBI model proves financial equilibrium exists.
Model shows significant income inequality emerges from equal opportunities in a simple economy.
Study reveals opacity in insider sales, leading to inefficiencies in capital allocation.
The so called "globalization" process (i.e. the inexorable integration of markets, currencies, nation-states, technologies and the intensification of consciousness of the world as a whole) has a behavior exactly equivalent to a system that is tending to a maximum entropy state. This globalization process obeys a collec…
Study bridges welfare maximization and CATE estimation in policy learning.
Existence of incomplete Radner equilibrium with endogenous noise tracker.
The paper proposes a new policy for optimal treatment allocation based on quantile treatment effects.
New welfare-based fairness notions align with existing error rate balance and predictive parity.
Study predicts traffic congestion based on population mobility data.
Adopting a zonal structure of electricity market requires specification of zones' borders. In this paper we use social welfare as the measure to assess quality of various zonal divisions. The social welfare is calculated by Market Coupling algorithm. The analyzed divisions are found by the usage of extended Locational …
Study examines Fed's pandemic communication strategies.
Framework for online resource allocation using social welfare functions.