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Cox, Caleb A. "Essays in Behavioral Game Theory." The Ohio State University, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=osu1365163152.
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Iriberri, Nagore. "Essays in behavioral game theory : auctions, hide and seek, and coordination /." Diss., Connect to a 24 p. preview or request complete full text in PDF formate. Access restricted to UC campuses, 2006. http://wwwlib.umi.com/cr/ucsd/fullcit?p3244177.
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Yakobi, Maxine J. "The Economic and Behavioral Success of Riot Games In an Undifferentiated Video Game Market." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/scripps_theses/349.
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The vast success of Riot Games is relatively undisputed amongst financial analysts as well as online communities despite there being little information publicly available that specifically addresses how their game has differentiated itself in a homogenous market. Additionally, there is little information that addresses the opportunity cost of paying money for components within this specific server for advantages within the game. I believe there to be something functionally unique about Riot’s business in particular that allows for it to acquire steady fiscal growth from people investing their money into effectively a “free” online game and I would like to explore what that is.
Therefore I wish to answer the question of why is it that Riot, despite having a relatively undifferentiated product within the MOBA game industry, exceeds all other companies in both player commitment and financial investment to their free-to-play product.
My surveys will aim to address the reasons why players choose to invest both their time and money into the game and shed more light on the efficacy of the incentive structures in place. Through survey data and information gained through interviews I will form base comparisons between player preferences and then track the incentive structures across the MOBA industry.
Using comparative analysis between the player-reported incentives which drive their behavior, the information gained through conducting personal interviews with Riot Representatives, and careful analysis of consumer trends with regards to League of Legends and the eSports franchise as designed by the Riot Games industry, I will attempt to find correlations between the player’s perceptions of Riot’s product and the incentives within the game. If consumption and growth patterns show correlations to the growth exhibited by the company that prove to be significant when compared with player preferences, those points could potentially explain the success that Riot has seen over the duration of the past five years of the company’s existence.
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Rampal, Jeevant. "Behavioral Economic Theory and Experimental Investigation." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1491972688590258.
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Mezhvinsky, Dimitry. "Essays in Microeconomic Theory and Behavioral Economics." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1429802856.
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Cardella, Eric. "An Investigation of Behavioral Influences in Strategic Decision Making." Diss., The University of Arizona, 2012. http://hdl.handle.net/10150/222632.
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In this dissertation, I study the impact of behavioral influences on strategic economic decision making in three essays.The first essay explores the interpersonal implications of guilt aversion in strategic settings. In doing so, I first introduce a stylized 2-player game where one players has an opportunity to induce guilt upon the other player in a manner derived from findings in the psychology literature. I then develop an experimental design, centered around this game, that allows me to test (i) whether agents attempt to induce guilt upon others in self-serving ways, (ii) whether agents are susceptible to the guilt induction of others, and (iii) whether agents are more trusting when they have an opportunity to induce guilt upon others. Furthermore, I theoretically show, via an application of the Battigalli and Dufwenberg (2007) model of simple guilt, that effective guilt induction can be supported as an equilibrium of the game considered.In the second essay, I explore the influence of posted price fairness concerns in bilateral negotiation settings. In doing so, I propose a price fairness model where, in addition to their material payoff, buyers receive disutility from engaging in negotiations, and aggressively negotiating, when the price is fair. As a result, the model predicts that buyers will negotiate less aggressively and possibly even forgo profitable negotiations when the posted price is fair, which is consistent with prior survey evidence on negotiation behavior. I also include a thorough discussion of the differences between the price fairness model and main alternative approaches to modeling fairness that exists in the literature.In the third essay, I experimentally investigate how the decision making quality of an agent's opponent influences learning in strategic games. In particular, I test whether learning-by-doing and learning-by-observing become more effective in games when agents face an optimal decision making opponent. To test these hypotheses, I propose a novel experimental design that enables me to measure strategic decision making quality and control the decision making quality of the opponent.
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Peysakhovich, Alexander. "Essays in Behavioral Economics." Thesis, Harvard University, 2012. http://dissertations.umi.com/gsas.harvard:10686.
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Essays in this dissertation cover three topics in behavioral economics: social preferences, ambiguity aversion and self-control. The first essay, based on work with Aurelie Ouss, studies the behavior of individuals making decisions to punish norm violators. It addresses two types of questions. First, what parameters affect these punishment decisions? Second, what do outcomes look like when these decisions are aggregated? Experimental data show that individual punishment decisions appear to respond to individual cost and not necessarily social cost. Additionally, individuals appear not to take the probability that violators will be apprehended into account. Finally, punishment by others does not act as a perfect substitute for own punishment. These combined effects mean that aggregate levels of punishment rarely resemble those in line with commonly used benchmarks such as optimal deterrence. The second essay, based on work with Uma Karmarkar, studies how information affects valuation of ambiguous financial prospects. Experimental results show that across several domains individual valuations appear to react much more strongly to favorable information than unfavorable information. Additional studies indicate that this effect is driven by two mechanisms. The first is a bias towards the integration of favorable information. The second is an effect of ambiguity aversion, individuals appear to be averse to subjective ignorance and so unfavorable information has a positive component: it removes some of this uncertainty. The final essay looks at how dual-self (Fudenberg-Levine (2006)) decision makers can use commitment contracts to combat self-control problems and implement long-run optimal behavior. The main results show that both stick contracts, which levy a fine when an individual gives in to a temptation, and carrot contracts, which give rewards for resisting, can simulate binding commitments. However, carrots have several advantages over sticks. Sticks create a temptation to cancel the contract, carrots are less vulnerable to trembles and finally carrots allow for more flexibility.Economics
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Berger, Ulrich, Silva Hannelore De, and Gerlinde Fellner-Röhling. "Cognitive Hierarchies in the Minimizer Game." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4805/1/wp211.pdf.
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Experimental tests of choice predictions in one-shot games show only little support for Nash equilibrium (NE). Poisson Cognitive Hierarchy (PCH) and level-k (LK) are behavioral models of the thinking-steps variety where subjects differ in the number of levels of iterated reasoning they perform. Camerer et al. (2004) claim that substituting the Poisson parameter tau = 1.5 yields a parameter-free PCH model (pfPCH) which predicts experimental data considerably better than NE. We design a new multi-person game, the
Minimizer Game, as a testbed to compare initial choice predictions of NE, pfPCH and LK. Data obtained from two large-scale online experiments strongly reject NE and LK, but are well in line with the point prediction of pfPCH.Series: Department of Economics Working Paper Series
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Konovalov, Arkady. "Essays in Behavioral Economics." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1494436077382145.
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Bilal, Ahmed. "Counterfactual conditional analysis using the Centipede Game." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2252.
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The Backward Induction strategy for the Centipede Game leads us to a counterfactual reasoning paradox, The Centipede Game paradox. The counterfactual reasoning proving the backward induction strategy for the game appears to rely on the players in the game not choosing that very same backward induction strategy. The paradox is a general paradox that applies to backward induction reasoning in sequential, perfect information games. Therefore, the paradox is not only problematic for the Centipede Game, but it also affects counterfactual reasoning solutions in games similar to the Centipede Game. The Centipede Game is a prime illustration of this paradox in counterfactual reasoning. As a result, this paper will use a material versus subjunctive/counterfactual conditional analysis to provide a theoretical resolution to the Centipede Game, with the hope that a similar solution can be applied to other areas where this paradox may appear. The solution involves delineating between the epistemic systems of the players and the game theorists.
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Scroggin, Steven E. "Essays in dynamic uncertainty : behavioral economics, investment theory and law and economics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2005. http://wwwlib.umi.com/cr/ucsd/fullcit?p3208637.
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Yan, Chang. "A computational game-theoretic study of reputation." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:e6acb250-efb8-410b-86dd-9e3e85b427b6.
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As societies become increasingly connected thanks to advancing technologies and the Internet in particular, individuals and organizations (i.e. agents hereafter) engage in innumerable interaction and face constantly the possibilities thereof. Such unprecedented connectivity offers opportunities through which social and economic benefits are realised and disseminated. Nonetheless, risky and damaging interaction abound. To promote beneficial relationships and to deter adverse outcomes, agents adopt different means and resources. This thesis focuses on reputation as a crucial mechanism for promoting positive interaction, and examines the topic from game-theoretic perspective using computational methods. First, we investigate the design of reputation systems by incorporating economic incentives into algorithm design. Focusing on ubiquitous user-generated ratings on the Internet, we propose a truthful reputation mechanism that not only enforces honest reporting from individual raters but also takes into account their personal preferences. The mechanism is constructed using a blend of Bayesian Truth Serum and SimRank algorithms, both specifically adapted for our use case of online ratings. We show that the resulting mechanism is Bayesian incentive compatible and is computable in polynomial time. In addition, the mechanism is shown to be resistant to common manipulations on the Internet such as uniform fake ratings and targeted collusions. Lastly, we discuss detailed considerations for implementing the mechanism in practice. Second, we investigate experimentally the relative importance of reputational and social knowledge in sustaining cooperation in dynamic networks. In our experiments, U.S-based subjects play a repeated game where, in each round, an endogenous network is formed among a group of 13 players and each player chooses a cooperative or non-cooperative action that applies to all her connections. We vary the availability of reputational and social knowledge to subjects in 4 treatments. At the aggregate level, we find that reputational knowledge is of first-order importance for supporting cooperation, while social knowledge plays a complementary role only when reputational knowledge is available. Further community-level analysis reveals that reputational knowledge leads to the emergence of highly cooperative hubs, and a dense and cluster network, while social knowledge enhances cooperation by forming a large, dense and clustered community of cooperators who exclude outsiders through link removals and link refusals. At the individual level, reputational knowledge proves essential for the emergence of network structural characteristics that are associated with cooperative actions. In contrast, in treatments without reputational information, none of the network metrics is predicative of subjects' choices of action. Furthermore, we present UbiquityLab, a pioneering online platform for conducting real-time interactive experiments for game-theoretic studies. UbiquityLab supports both synchronous and asynchronous game models, and allows for complex and customisable interaction between subjects. It offers both back-end and front-end infrastructure with a modularised design to enable rapid development and streamlined operation. For in- stance, in synchronous mode, all per-stage and inter-stage logic are fully encapsulated by a thin server-side module, while a suite of client-side components eases the creation of game interface. The platform features a robust messaging protocol, such that player connection and game states are restored automatically upon networking errors and dropped out subjects are seamlessly substituted by customisable program players. Online experiments enjoy clear advantages over lab equivalents as they benefit from low operation cost, efficient execution, large and diverse subject pools, etc. UbiquityLab aims to promote online experiments as an emerging research methodology in experimental economics by bringing its benefits to other researchers.
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Khambete, Surendra S. "MANAGING RATIONAL DIVERGENCE: TESTING THE EFFECTS OF A COGNITIVE BEHAVIORAL THERAPY (CBT) TECHNIQUE ON COLLABORATIVE VERSUS COMPETITIVE BEHAVIORS IN A GAME THEORETIC SETTING." Case Western Reserve University School of Graduate Studies / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=case1606306856751918.
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Park, Jeffrey. "Some Professionals Play Minimax: A Reexamination of the Minimax Theory in Major League Baseball." Scholarship @ Claremont, 2010. http://scholarship.claremont.edu/cmc_theses/31.
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This paper explores the behavior of Major League Baseball pitchers. We analyze the pitching data from 2007-2010 in order to determine whether their actions follow minimax play. We also examine what the OPS statistic tells us about a pitcher's value.
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Giannakopoulos, Ioannis. "Duality theory for optimal mechanism design." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:90e1fdec-8803-4306-8985-5106c457f34d.
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In this work we present a general duality-theory framework for revenue maximization in additive Bayesian auctions involving multiple items and many bidders whose values for the goods follow arbitrary continuous joint distributions over some multi-dimensional real interval. Although the single-item case has been resolved in a very elegant way by the seminal work of Myerson [1981], optimal solutions involving more items still remain elusive. The framework extends linear programming duality and complementarity to constraints with partial derivatives. The dual system reveals the natural geometric nature of the problem and highlights its connection with the theory of bipartite graph matchings. We demonstrate the power of the framework by applying it to various special monopoly settings where a seller of multiple heterogeneous goods faces a buyer with independent item values drawn from various distributions of interest, to design both exact and approximately optimal selling mechanisms. Previous optimal solutions were only known for up to two and three goods, and a very limited range of distributional priors. The duality framework is used not only for proving optimality, but perhaps more importantly, for deriving the optimal mechanisms themselves. Some of our main results include: the proposal of a simple deterministic mechanism, which we call Straight-Jacket Auction (SJA) and is defined in a greedy, recursive way through natural geometric constraints, for many uniformly distributed goods, where exact optimality is proven for up to six items and general optimality is conjectured; a scheme of sufficient conditions for exact optimality for two-good settings and general independent distributions; a technique for upper-bounding the optimal revenue for arbitrarily many goods, with an application to uniform and exponential priors; and the proof that offering deterministically all items in a single full bundle is the optimal way of selling multiple exponentially i.i.d. items.
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Plaček, Vilém. "Teorie her a racionalita rozhodovatele." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359088.
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View of rational choice in coherence with ultimatum game. Rational choice theory adjusted by joining behavioral economics to better comprehend decision-making processes. In this thesis I focus on researching strong influences using multiple simple games. Namely: ultimatum game, dictator game and modifications of previous. They will be carried out by online questionnaire. Next step will be analysis of components to determine significant ones and impact of game's modifications. I assume that decision-maker's rationality will be disproven. This thesis will continue with assessing influence of risk and fear of loss. Goal is to gather enough of detailed data about motivations and participants in order to perform analysis and establish statistically significant influences.
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Buttle, D. "Credit networks and agent games." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418814.
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This thesis is divided into three parts; an intensity based network model of firm default, an agent based network model of firm default, and an agent based model of feedback effects from dynamic hedging. The common theme among all three parts is the application of ideas from both physics and mathematics to the solution of problems motivated by the financial markets. Less broadly, in the first two parts, the common themes are credit markets, networks, and dependent defaults. Part one tackles the problem of default dependence from a probabilistic perspective, modeling the default of companies as generalised Poisson processes, with the default dependence structure given by a network. We present a mathematical framework to solve a generalised version of the Jarrow Yu model of looping defaults [27] and study the relationship between network structure and the resilience of a network of firms to default events. Using this model we then show how to price simple multi-name credit products such as kth to default baskets. Part two again considers dependent defaults, but here the network is dynamic and firms are modelled as simple agents, defined by strategies, whose interactions determine a network of trading links. Using our agent based network model of firm default we study network structure and their degree distributions, firm lifetimes, and look for evidence of agent learning and default clustering. We then study the effect of default on a network of firms and the response of remaining firms to that default event. Part three considers a relatively more established agent based framework, called the Minority Game. We first describe in detail the Minority Game and discuss its suitability as a market model. We then show how it may be applied to modelling the actions of traders delta hedging a short option position. We show that for a variety of option positions, in a sufficiently illiquid market feedback effects arise from the actions of the traders as their trades impact upon the underlying market.
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Go, Cassandra Lim. "The Game's Afoot! Game Theory in Dashiell Hammett's The Maltese Falcon and Red Harvest." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/scripps_theses/835.
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Dashiell Hammett's The Maltese Falcon and Red Harvest are examples of iconic hard-boiled detective literature that reflect on the anxieties and tensions of the 1930s-1940s. With the Great Depression looming over these decades, the genre uses the hard-boiled detective as a way to communicate with and understand this time period. In our analysis of game theory, we look at how Dashiell Hammett's characters make decisions based on the actions of other players in the game, illustrating the influences of bargaining power and manipulation. With characters that oftentimes find themselves in situations where they must collude to reach maximum utility, the novels explore the various ways in which one player takes advantage of another, almost always leading towards the detective's best payoff. Game theory provides us with a unique method to looking at literature, hard-boiled fiction particularly, as a reflection of the historical period of its conception and prime.
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Khadem, Varqa. "Pricing corporate securities and stochastic differential games." Thesis, University of Oxford, 2001. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.393555.
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Nwadiora, Chinedum D. "A Dual-Role Analysis of Game Form Misconception and Cognitive Bias in Financial and Economic Decision Making." ScholarWorks@UNO, 2017. http://scholarworks.uno.edu/td/2350.
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The endowment and the framing effect are widely examined cognitive biases. The experimental economics literature, using choice data gathered through an elicitation device, commonly finds evidence of these biases. Recent work by Cason & Plott (2014) shows that the interpretation of choice data as consistent with biases related non-standard preference theory could also be consistent with confusion or misconception of the game type used to elucidate preferences. I use the Cason and Plott card auction framework to analyze offers of buyers and sellers in an experimental setting with subjects from the University of New Orleans simulating 97 sellers and 90 buyers. The two games have symmetric payoffs in order to examine cognitive biases given subjects’ misconception of the game form. Subjects of both games display misconception of game form that explains both endowment and framing effects by rational confused choice; however, buyers display a much greater dispersion of offers than sellers. I estimate card implied valuation of sellers and buyers given game form misconception and find no statistical endowment effect, but I do find valuation is more uncertain in the buyer’s game. The theory of Rational Inattention predicts this lack of offer symmetry is due to the additional cognitive steps necessary in calculating buyer offers.
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Mitton, M. D. "Derivative pricing and optimal execution of portfolio transactions in finitely liquid markets." Thesis, University of Oxford, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.531987.
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In real markets, to some degree, every trade will incur a non-zero cost and will influence the price of the asset traded. In situations where a dynamic trading strategy is implemented these liquidity effects can play a significant role. In this thesis we examine two situations in which such trading strategies are inherent to the problem; that of pricing a derivative contingent on the asset and that of executing a large portfolio transaction in the asset. The asset's finite liquidity has been incorporated explicitly into its price dynamics using the Bakstein-Howison model [4]. Using this model we have derived the no-arbitrage price of a derivative on the asset and have found a true continuous-time equation when the bid-ask spread in the asset is neglected. Focussing on this pure liquidity case we then employ an asymptotic analysis to examine the price of a European call option near strike and expiry where the liquidity effects are shown to be most significant and closed-form expressions for the price are derived in this region. The asset price model is then extended to incorporate the empirical fact that an asset's liquidity mean reverts stochastically. In this situation the pricing equation is analyzed using the multiscale asymptotic technique developed by Fouque, Papanicolaou, and Sircar [22] and a simplified pricing and calibration framework is developed for an asset possessing liquidity risk. Finally, the derivative pricing framework (both with and without liquidity risk) is applied to a new contract termed the American forward which we present as a possible hedge against an asset's liquidity risk. In the second part of the thesis we investigate how to optimally execute a large transaction of a finitely liquid asset. Using stochastic dynamic programming and attempting only to minimize the transaction's cost, we first find that the optimal strategy is static and contains the naive strategy found in previous studies, but with an extra term to account for interest rates neglected by those studies. Including time risk into the optimization procedure we find expressions for the optimal strategy in the extreme cases when the trader's aversion to this risk is very small and very large. In the former case the optimal strategy is simply the cost-minimization strategy perturbed by a small correction proportional to the trader's level of risk aversion. In the latter case the problem is shown to be much more difficult; we analyze and derive implicit closed-form solutions to the much-simplified perfect liquidity case and show numerical results to demonstrate the agreement of the solution with our intuition.
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Fenn, Daniel. "Network communities and the foreign exchange market." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533893.
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Many systems studied in the biological, physical, and social sciences are composed of multiple interacting components. Often the number of components and interactions is so large that attaining an understanding of the system necessitates some form of simplication. A common representation that captures the key connection patterns is a network in which the nodes correspond to system components and the edges represent interactions. In this thesis we use network techniques and more traditional clustering methods to coarse-grain systems composed of many interacting components and to identify the most important interactions. This thesis focuses on two main themes: the analysis of financial systems and the study of network communities, an important mesoscopic feature of many networks. In the first part of the thesis, we discuss some of the issues associated with the analysis of financial data and investigate the potential for risk-free profit in the foreign exchange market. We then use principal component analysis (PCA) to identify common features in the correlation structure of different financial markets. In the second part of the thesis, we focus on network communities. We investigate the evolving structure of foreign exchange (FX) market correlations by representing the correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us to track the effects of the community evolution on the functional roles of individual nodes and uncovers major trading changes that occurred in the market. Finally, we consider the community structure of networks from a wide variety of different disciplines. We introduce a framework for comparing network communities and use this technique to identify networks with similar mesoscopic structures. Based on this similarity, we create taxonomies of a large set of networks from different fields and individual families of networks from the same field.
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Cisneros-Molina, Myriam. "Mathematical methods for valuation and risk assessment of investment projects and real options." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.491350.
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In this thesis, we study the problems of risk measurement, valuation and hedging of financial positions in incomplete markets when an insufficient number of assets are available for investment (real options). We work closely with three measures of risk: Worst-Case Scenario (WCS) (the supremum of expected values over a set of given probability measures), Value-at-Risk (VaR) and Average Value-at-Risk (AVaR), and analyse the problem of hedging derivative securities depending on a non-traded asset, defined in terms of the risk measures via their acceptance sets. The hedging problem associated to VaR is the problem of minimising the expected shortfall. For WCS, the hedging problem turns out to be a robust version of minimising the expected shortfall; and as AVaR can be seen as a particular case of WCS, its hedging problem is also related to the minimisation of expected shortfall. Under some sufficient conditions, we solve explicitly the minimal expected shortfall problem in a discrete-time setting of two assets driven by correlated binomial models. In the continuous-time case, we analyse the problem of measuring risk by WCS, VaR and AVaR on positions modelled as Markov diffusion processes and develop some results on transformations of Markov processes to apply to the risk measurement of derivative securities. In all cases, we characterise the risk of a position as the solution of a partial differential equation of second order with boundary conditions. In relation to the valuation and hedging of derivative securities, and in the search for explicit solutions, we analyse a variant of the robust version of the expected shortfall hedging problem. Instead of taking the loss function $l(x) = [x]^+$ we work with the strictly increasing, strictly convex function $L_{\epsilon}(x) = \epsilon \log \left( \frac{1+exp\{−x/\epsilon\} }{ exp\{−x/\epsilon\} } \right)$. Clearly $lim_{\epsilon \rightarrow 0} L_{\epsilon}(x) = l(x)$. The reformulation to the problem for L_{\epsilon}(x) also allow us to use directly the dual theory under robust preferences recently developed in [82]. Due to the fact that the function $L_{\epsilon}(x)$ is not separable in its variables, we are not able to solve explicitly, but instead, we use a power series approximation in the dual variables. It turns out that the approximated solution corresponds to the robust version of a utility maximisation problem with exponential preferences $(U(x) = −\frac{1}{\gamma}e^{-\gamma x})$ for a preferenes parameter $\gamma = 1/\epsilon$. For the approximated problem, we analyse the cases with and without random endowment, and obtain an expression for the utility indifference bid price of a derivative security which depends only on the non-traded asset.
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Law, S. L. "Financial optimization problems." Thesis, University of Oxford, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.426391.
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The major objective of this thesis is to study optimization problems in finance. Most of the effort is directed towards studying the impact of transaction costs in those problems. In addition, we study dynamic meanvariance asset allocation problems. Stochastic HJB equations, Pontryagin Maximum Principle and perturbation analysis are the major mathematical techniques used. In Chapter 1, we introduce the background literature. Following that, we use the Pontryagin Maximum Principle to tackle the problem of dynamic mean-variance asset allocation and rediscover the doubling strategy. In Chapter 2, we present one of the major results of this thesis. In this chapter, we study a financial optimization problem based on a market model without transaction costs first. Then we study the equivalent problem based on a market model with transaction costs. We find that there is a relationship between these two solutions. Using this relationship, we can obtain the solution of one when we have the solution of another. In Chapter 3, we generalize the results of chapter 2. In Chapter 4, we use Pontryagin Maximum Principle to study the problem limit of the no-transaction region when transaction costs tend to 0. We find that the limit is the no-transaction cost solution.
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Haworth, H. "Structural models of credit with default contagion." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.437010.
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Multi-asset credit derivatives trade in huge volumes, yet no models exist that are capable of properly accounting for the spread behaviour of dependent companies. In this thesis we consider new ways of incorporating a richer and more realistic dependence structure into multi-firm models. We focus on the structural framework in which firm value is modelled as a geometric Brownian motion, with default as the first hitting time of an exponential default threshold. Specification of a dependence structure consisting of a common driving influence and firm-specific inter-company ties allows for both default causality and default asymmetry and we incorporate default contagion in the first passage framework for the first time. Building on the work by Zhou (2001a), we propose an analytical model for corporate bond yields in the presence of default contagion and two-firm credit default swap baskets. We derive closed-form solutions for credit spreads, and results clearly highlight the importance of dependence assumptions. Extending this framework numerically, we calculate CDS spreads for baskets of three firms with a wide variety of credit dependence specifications. We examine the impact of firm value correlation and credit contagion for symmetric and asymmetric baskets, and incorporate contagion that has a declining impact over time.
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Firth, Neil Powell. "High dimensional American options." Thesis, University of Oxford, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.427867.
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Pricing single asset American options is a hard problem in mathematical finance. There are no closed form solutions available (apart from in the case of the perpetual option), so many approximations and numerical techniques have been developed. Pricing multi–asset (high dimensional) American options is still more difficult. We extend the method proposed theoretically by Glasserman and Yu (2004) by employing regression basis functions that are martingales under geometric Brownian motion. This results in more accurate Monte Carlo simulations, and computationally cheap lower and upper bounds to the American option price. We have implemented these models in QuantLib, the open–source derivatives pricing library. The code for many of the models discussed in this thesis can be downloaded from quantlib.org as part of a practical pricing and risk management library. We propose a new type of multi–asset option, the “Radial Barrier Option” for which we find analytic solutions. This is a barrier style option that pays out when a barrier, which is a function of the assets and their correlations, is hit. This is a useful benchmark test case for Monte Carlo simulations and may be of use in approximating multi–asset American options. We use Laplace transforms in this analysis which can be applied to give analytic results for the hitting times of Bessel processes. We investigate the asymptotic solution of the single asset Black–Scholes–Merton equation in the case of low volatility. This analysis explains the success of some American option approximations, and has the potential to be extended to basket options.
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Kluge, T. "Pricing swing options and other electricity derivatives." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.432362.
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The deregulation of regional electricity markets has led to more competitive prices but also higher uncertainty in the future electricity price development. Most markets exhibit high volatilities and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against high prices. A good understanding of the stochastic price dynamics is required for the purposes of risk management and pricing derivatives. In this thesis we examine a simple spot price model which is the exponential of the sum of an Ornstein-Uhlenbeck and an independent pure jump process. We derive the moment generating function as well as various approximations to the probability density function of the logarithm of this spot price process at maturity T. With some restrictions on the set of possible martingale measures we show that the risk neutral dynamics remains within the class of considered models and hence we are able to calibrate the model to the observed forward curve and present semi-analytic formulas for premia of path-independent options as well as approximations to call and put options on forward contracts with and without a delivery period. In order to price path-dependent options with multiple exercise rights like swing contracts a grid method is utilised which in turn uses approximations to the conditional density of the spot process. Further contributions of this thesis include a short discussion of interpolation methods to generate a continuous forward curve based on the forward contracts with delivery periods observed in the market, and an investigation into optimal martingale measures in incomplete markets. In particular we present known results of q-optimal martingale measures in the setting of a stochastic volatility model and give a first indication of how to determine the q-optimal measure for q=0 in an exponential Ornstein-Uhlenbeck model consistent with a given forward curve.
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Hosking, Thomas Shannon. "Differential games of exhaustible resource extraction." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:0e740dad-4dd8-4f49-9dbb-3de5d7328960.
Full textAbstract:
This thesis is concerned with game-theoretic models of oligopoly resource markets. They revolve around an open market, on which a number of firms sell a common resource. The market price-demand relationship means that the price (demand) that results from the firm’s production (pricing) decisions is a function of the decisions of all firms selling to that market. This means that firms must generally anticipate the actions of competing firms when determining their own strategies, which means that these models often need to be analysed using game theory. We focus on games in which the resource is exhaustible, with the exception of Chapter 5, in which the majority of the analysis is carried out in an inexhaustible resources setting. Exhaustibility introduces an additional complication into these games; that of allocating the extraction and sale of a limited resource pool over time. We consider several separate areas of extension, which we outline below. In Chapter 2, we consider a dynamic Stackelberg game. Stackelberg competition is an asymmetric form of competition in which one player (the leader) has the ability to pre-commit to and announce a strategy in advance. The ability to pre-commit to a strategy is almost always highly valuable, and in this case allows the leader to drive down the follower’s production by pre-committing to drive up their own. We follow the framework used in [62] to analyse Cournot competition to derive our results. In Chapter 3, we compare the two settings in which resource extraction models are usually formulated: Open-Loop, in which the players determine their strategies as functions of time and the initial resource levels of the players only; and Feedback-Loop, in which the players determine their strategies at each point in time as a function of the current resource levels at that time. Our focus is on the investigation of the relationship between the difference in the production or value of a firm under these two models, and the distribution of resources across the firms. In Chapter 4, we consider a common property resource game. These involve multiple firms which can extract from a common resource pool. We study a widely-used Open- viii Loop model, as formulated in [79]. We examine the result that analysis of the problem by standard methods results in two candidate equilibria, and argue that one of these equilibria can be ruled out by construction of a superior response. In Chapter 5, we analyse joint constraints on production, namely constraints which are met when the total production is above or below a certain level. It is a well- established result that these constraints can result in multiple equilibria. We provide several brief extensions to existing uniqueness results. We also demonstrate methods by which these results can be utilised to analyse games with piecewise-linear windfall taxes or congestion charges. Finally, we discuss the problems of extending these results to games with resource exhaustibility.
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Burke, Benjamin M. S., James M. Ph D. Duncan, Nick Ph D. Frye, and Mallory Ph D. LMFT CFLE Lucier-Greer. "Sense of (Online) Community? The Social Organization Theory of Action and Change and Adult Video Game Players." Digital Commons @ East Tennessee State University, 2020. https://dc.etsu.edu/secfr-conf/2020/schedule/45.
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Much investigation has explored the potential effects of video games in adolescence. However, limited research has been conducted on the effects of social video game play and individual and relational well-being in adults. The Social Organization Theory of Action and Change (SOAC) may be a helpful way to examine social behaviors (like gaming) and how they relate to well-being. This exploratory study will utilize the SOAC to examine social gaming behaviors in adults, and examine the relationships between these behaviors and adult individual and relational outcomes (e.g., loneliness, relationship satisfaction). Descriptive statistics and correlations are provided. Regression analyses will be performed. Results will be used to discuss the viability of applying the SOAC to online, social gaming contexts. Implications for social video game play in adults will be provided.
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Mantovani, Marco. "Essays in forward looking behavior in strategic interactions." Doctoral thesis, Universite Libre de Bruxelles, 2013. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209492.
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The general topic of our thesis is forward looking behavior in strategic situations. Mixing theoretical and experimental analysis, we document how strategic thinking is affected by the specific features of a dynamic interaction. The overarching result is that the information regarding decisions that are close to the current one, receive a qualitatively different consideration, with respect to distant ones. That is, the actual decisions are based on reasoning over a limited number of steps, close to actual decison node. We capture this feature of behavior both in a strategic (limited backward induction) and in a non-strategic (limited farsightedness) set up, and we identify relevant consequences on the outcome of the interaction, which powerfullly explain many observed experimental regularities.In the first essay, we present a general out-of-equilibrium framework for strategic thinking in sequential games. It assumes the agents to take decisions on restricted game trees, according to their (limited) foresight level, following backward induction. Therefore we talk of limited backward induction (LBI). We test for LBI using a variant of the race game. Our design allows to identify restricted game trees and backward reasoning, thus properly disentangling LBI behavior. The results provide strong support in favor of LBI. Most players solve intermediate tasks - i.e. restricted games - without reasoning on the terminal histories. Only a small fraction of subjects play close to equilibrium, and (slow) convergence toward it appears, though only in the base game. An intermediate task keeps the subjects off the equilibrium path longer than in the base game. The results cannot be rationalized using the most popular models of strategic reasoning, let alone equilibrium analysis.
In the second essay, a subtle implication of the model is investigated: the sensitivity of the players’ foresight to the accessibility and completeness of the information they have, using a Centipede game. By manipulating the way in which information is provided to subjects, we show that reduced availability of information is sufficient to shift the distribution of take-nodes further from the equilibrium prediction. On the other hand, similar results are obtained in a treatment where reduced availability of information is combined with an attempt to elicit preferences for reciprocity, through the presentation of the centipede as a repeated trust game. Our results could be interpreted as cognitive limitations being more effective than preferences in determining (shifts in) behavior in our experimental centipede. Furthermore our results are at odds with the recent ones in Cox [2012], suggesting caution in generalizing their results. Reducing the availability of information may hamper backward induction or induce myopic behavior, depending on the strategic environment.
The third essay consists of an experimental investigation of farsighted versus myopic behavior in network formation. Pairwise stability Jackson and Wolinsky [1996] is the standard stability concept in network formation. It assumes myopic behavior of the agents in the sense that they do not forecast how others might react to their actions. Assuming that agents are perfectly farsighted, related stability concepts have been proposed. We design a simple network formation experiment to test these extreme theories, but find evidence against both of them: the subjects are consistent with an intermediate rule of behavior, which we interpret as a form of limited farsightedness. On aggregate, the selection among multiple pairwise stable networks (and the performance of farsighted stability) crucially depends on the level of farsightedness needed to sustain them, and not on efficiency or cooperative considerations. Individual behavior analysis corroborates this interpretation, and suggests, in general, a low level of farsightedness (around two steps) on the part of the agents.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
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Pradelski, Bary S. R. "Distributed dynamics and learning in games." Thesis, University of Oxford, 2015. http://ora.ox.ac.uk/objects/uuid:37185594-633c-4d78-a408-dfe4978bacb7.
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In this thesis we study decentralized dynamics for non-cooperative and cooperative games. The dynamics are behaviorally motivated and assume that very little information is available about other players' preferences, actions, or payoffs. For example, this is the case in markets where exchanges are frequent and the sheer size of the market hinders participants from learning about others' preferences. We consider learning dynamics that are based on trial-and-error and aspiration-based heuristics. Players occasionally try to increase their performance given their current payoffs. If successful they stick to the new action, otherwise they revert to their old action. We also study a dynamic model of social influence based on findings in sociology and psychology that people have a propensity to conform to others' behavior irrespective of the payoff consequences. We analyze the dynamics with a particular focus on two questions: How long does it take to reach equilibrium and what are the stability and welfare properties of the equilibria that the process selects? These questions are at the core of understanding which equilibrium concepts are robust in environments where players have little information about the game and the high rationality assumptions of standard game theory are not very realistic. Methodologically, this thesis builds on game theoretic techniques and prominent solution concepts such as the Nash equilibrium for non-cooperative games and the core for cooperative games, as well as refinement concepts like stochastic stability. The proofs rely on mathematical techniques from random walk theory and integer programming.
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Ivanov, Asen Vasilev. "Essays in behavioral economics in the context of strategic interaction." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1179515760.
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MANTOVANI, MARCO. "ESSAYS ON FORWARD-LOOKING BEHAVIOR IN STRATEGIC INTERACTIONS." Doctoral thesis, Università degli Studi di Milano, 2013. http://hdl.handle.net/2434/219980.
Full textAbstract:
The general topic of our thesis is forward looking behavior in strategic situations.
Mixing theoretical and experimental analysis, we document how strategic thinking
is affected by the specific features of a dynamic interaction. The overarching result
is that the information regarding decisions that are close to the current one, receive
a qualitatively different consideration, with respect to distant ones. That is, the
actual decisions are based on reasoning over a limited number of steps, close to
actual decison node. We capture this feature of behavior both in a strategic (limited
backward induction) and in a non-strategic (limited farsightedness) set up, and we
identify relevant consequences on the outcome of the interaction, which powerfullly
explain many observed experimental regularities.
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Schröder, Andreas. "Die Verarbeitung von Gewinn- und Verlusterfahrungen in spezifischen Entscheidungs- und Spielsituationen." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2008. http://dx.doi.org/10.18452/15764.
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In der betriebswirtschaftlichen Realität werden riskante Entscheidungen meistens nach vorherigen Gewinn- oder Verlusterfahrungen getroffen und empirische Beobachtungen legen nahe, dass vorherige derartige Erfahrungen das aktuelle Risikoverhalten beeinflussen. Da dieser Umstand in den existierenden Ansätzen der normativen und deskriptiven Spieltheorie bisher jedoch nicht abgebildet wird, beschäftigt sich diese Arbeit zunächst mit der Erarbeitung der theoretischen Grundlagen für das Verhalten nach entsprechenden Erfahrungen in riskanten Entscheidungssituationen mit und ohne strategische Interaktion. Dabei wird für Einpersonenspiele das gesamte Framework der Kumulativen Prospekttheorie um einen "Aggregationsaxiom" erweitert und es werden anreizkompatible Mechanismen abgeleitet, die in zwei experimentellen Studien überprüft werden. Die Aggregationshypothese konnte dabei bestätigt werden, wenn auch die Risikowahrnehmung eher im Einklang mit normativen Ansätzen und nicht mit der Kumulativen Prospekttheorie zu stehen scheint. Für Mehrpersonenspiele wurde der klassische Ansatz um den Aggregationsaspekt, eine Auszahlungstransformation gemäß der Kumulativen Prospekttheorie und um die Annahme der Sozialen Projektion erweitert. Die Verhaltensprognosen für zwei einfache Koordinationsspiele resultieren dann insbesondere aus den beiden Verfeinerungskriterien "Risikodominanz" und "Perfektheit" der allgemeinen Gleichgewichtsauswahltheorie von Harsanyi und Selten. Die gemachten Vorhersagen konnten für die Teilnehmer (wenn auch mit überraschenden geschlechtspezifischen Unterschieden) in zwei Experimenten bestätigt werden.In the real world, risky decisions are typically made after previous experiences, which include prior gains and losses. Although there are empirical findings suggesting an influence of such prior experiences on the subsequent behavior, normative as well as descriptive decision and game theory have not provided yet a thorough theoretical treatment of these effects. Therefore, this thesis develops first a theoretical fundament. It is based on the Cumulative Prospect Theory, which is extended by an "aggregation axiom". For single-person-games an incentive compatible mechanism to elicit true evaluations of risks is developed and finally tested in two laboratory experiments. The relevance of the aggregation axiom gets full support whereas a risk perception according to the Cumulative Prospect Theory has to be rejected. In multi-person-games the additional assumption of Social Projection has to be incooperated. Equilibrium selection according to "perfectness" and "risk dominance" are used to derive predictions, which are empirically validated in two experiments. Furthermore, gender-specific differences are observed.
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Carlson, Rosalie J. "Voter Compatibility In Interval Societies." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/hmc_theses/50.
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In an interval society, voters are represented by intervals on the real line, corresponding to their approval sets on a linear political spectrum. I imagine the society to be a representative democracy, and ask how to choose members of the society as representatives. Following work in mathematical psychology by Coombs and others, I develop a measure of the compatibility (political similarity) of two voters. I use this measure to determine the popularity of each voter as a candidate. I then establish local “agreeability” conditions and attempt to find a lower bound for the popularity of the best candidate. Other results about certain special societies are also obtained
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Epstein, D. "Uncertain interest rate modelling." Thesis, University of Oxford, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302139.
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In this thesis, we introduce a non-probabilistic model for the short-term interest rate. The key concepts involved in this new approach are the non-diffusive nature of the short rate process and the uncertainty in the model parameters. The model assumes the worst possible outcome for the short rate path when pricing a fixed-income product (from the point of view of the holder) and differs in many important ways from the traditional approaches of fully deterministic or stochastic rates. In this new model, delta hedging and unique pricing play no role, nor does any market price of risk term appear. We present the model and explore the analytical and numerical solutions of the associated partial differential equation. We show how to optimally hedge the interest rate risk of a fixed-income portfolio and price and hedge common and exotic fixed-income products. Finally, we consider extensions to the model and present conclusions and areas for further research.
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Flores, Diego Gonzalo. "Asymmetry of Gains and Losses: Behavioral and Electrophysiological Measures." BYU ScholarsArchive, 2016. https://scholarsarchive.byu.edu/etd/6578.
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The purpose of this research was to explore the effects of small monetary or economic gains and/or losses on choice behavior through the use of a computerized game and to determine gain/loss ratio differences using both behavioral and electrophysiological measures. Participants (N=53) played the game in several 36 minute sessions. These sessions operated with concurrent variable-interval schedules for both rewards and penalties. Previously, asymmetrical effects of gains and losses have been identified through cognitive studies, primarily due to the work of nobel laureates Daniel Kahneman and Amos Tversky (1979). They found that the effect of a loss is twice (i.e., 2:1) that of a gain. Similar results have been observed in the behavioral laboratory as exemplified by the research of Rasmussen and Newland (2008), who found a 3:1 ratio for the effect of losses versus gains. The asymmetry of gains and losses was estimated behaviorally and through event-related brain potentials (ERPs) and the cognitive (Kahneman and Tversky) and behavioral (Rasmussen and Newland) discrepancy elucidated. In the game, the player moves an animated submarine around sea rocks to collect yellow coins and other treasures on the sea floor. Upon collecting a coin, one of three things can happen: The player triggers a penalty (loss), the player triggers a payoff (gain), or there is no change. The behavioral measures consisted in counting the number of clicks, reinforces, and punishers and then determining ratio differences between punished (loss) and no punished condition (gain) conditions. The obtained gain/loss ratio corresponded to an asymmetry of 2:1. Similarly ratio differences were found between male and female, virtual money and cash, risk averse versus risk seeking, and generosity versus profit behavior. Also, no ratio difference was found when players receive information about other player's performances in the game (players with information versus players without information). In electroencephalographic (EEG) studies, visual evoked potentials (VEPs) and ERPs components (e.g., P300) were examined. I found increased ERP amplitudes for the losses in relation to the gains that corresponded to the calculated behavioral asymmetry of 2:1. A correlational strategy was adopted that sought to identify neural correlates of choice consistent with cognitive and behavioral approaches. In addition, electro cortical ratio differences were observed between different sets of electrodes that corresponded to the front, middle, and back sections of the brain; differences between sessions, risk averse and risk seeking behavior and sessions with concurrent visual and auditory stimuli and only visual were also estimated.
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Simaitis, Aistis. "Automatic verification of competitive stochastic systems." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:68b5e2d8-ba04-419f-8926-4cd542121e2d.
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In this thesis we present a framework for automatic formal analysis of competitive stochastic systems, such as sensor networks, decentralised resource management schemes or distributed user-centric environments. We model such systems as stochastic multi-player games, which are turn-based models where an action in each state is chosen by one of the players or according to a probability distribution. The specifications, such as “sensors 1 and 2 can collaborate to detect the target with probability 1, no matter what other sensors in the network do” or “the controller can ensure that the energy used is less than 75 mJ, and the algorithm terminates with probability at least 0.5'', are provided as temporal logic formulae. We introduce a branching-time temporal logic rPATL and its multi-objective extension to specify such probabilistic and reward-based properties of stochastic multi-player games. We also provide algorithms for these logics that can either verify such properties against the model, providing a yes/no answer, or perform strategy synthesis by constructing the strategy for the players that satisfies the specification. We conduct a detailed complexity analysis of the model checking problem for rPATL and its multi-objective extension and provide efficient algorithms for verification and strategy synthesis. We also implement the proposed techniques in the PRISM-games tool and apply them to the analysis of several case studies of competitive stochastic systems.
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Wyatt, Gregory Alan Kenneth. "Coevolutionary adaptation in mutualisms." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:c3318211-a893-432e-a52e-35a6c60b76ce.
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Natural selection favours those individuals that respond best to novel features of their selective environment. For many, a critical challenge is responding to evolutionary change in mutualistic species. These responses create complex feedbacks, so only coevolutionary approaches are able to fully answer key questions about the maintenance or disruption of mutualistic behaviour, and explain the range of mechanisms that allow individuals to benefit from these associations. I first consider the hypothesis that economic models studying multiple classes of traders, where each trader seeks to optimise its own payoffs will yield insights into mutualistic systems. I show that individuals can be favoured to discriminate amongst potential partners based on the price for which they provide resources. Then, I show that market mechanisms can maintain cooperation and drive specialisation in mutualistic systems. I extend this market model to allow individuals to restrict a mutualistic partner's access to resources, and show that this strategy can stabilise cooperation and increase the fitness of both partners. I also explicitly incorporate relatedness in my market model. I show that high relatedness sometimes increases cooperativeness in members of a mutualistic species, but sometimes decreases cooperativeness as it narrow the scope for partner choice to maintain cooperation. Having studied market mechanisms, I consider indiscriminate costly help to members of another species. I discover that this trait can be favoured by natural selection and can be classified as either altruism between or altruism within species. Finally, I consider a framework for analysing coevolved phenotypic responses to a partner's cooperativeness, a challenging process to model. I demonstrate that this framework can yield firm predictions about behaviour whenever partners hold private information about their costs and benefits.
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Menzies, John Alexander. "Sovereign contingent liabilities : a perspective on default and debt crises." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:c25e36be-bd42-4a0f-9af6-42d17f87424f.
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Chapters 2-3: A global games approach to sovereign debt crises The first chapters present a model that investigates the risks involved when a fiscal authority attempts to roll-over a stock of debt and there is the potential for coordination failure by investors. A continuum of investors, after receiving signals about the authority's willingness to repay, decides whether to roll-over the stock of debt. If an insufficient proportion of investors participates, the authority defaults. With one fiscal authority, private information results in a deterministic outcome. When a public signal is available, the model behaves in a similar manner to a sunspot model. In line with much of the global games literature, improving public information has an ambiguous effect on welfare. Finally, the model is extended to include a second fiscal authority, which captures a similar sunspot result and illustrates the potential for externalities in fiscal policy. Lower debt in the less indebted authority can push a more indebted authority into crisis. Lower debt makes the healthier authority relatively more attractive, which causes the investors to treat the heavily indebted authority more conservatively. In certain circumstances, this is sufficient to cause a coordination failure. Chapter 4: A debt game with correlated information This chapter models of debt roll-over where a continuum of investors receives correlated signals on whether a debtor is solvent or insolvent. The investors face a collective action problem: a sufficient proportion of investors must agree to participate in the debt roll-over for it to be a success. If an insufficient proportion of investors participates in the deal, the debtor will default. The game has a unique switching strategy, which results in global uncertainty being preserved. The ex ante distribution of play (conditional on the true solvency of the debtor) follows a Vasicek credit distribution. The ex ante probability of a debt crisis is affected by the exogenous model parameters. Of particular interest is the observation that increasing private noise unambiguously reduces the probability of a debt crisis. Unsurprisingly, increasing the fiscal space or return on debt also decreases the probability of a crisis. Chapter 5: Bailouts and politics The final chapter examines the political-economic equilibrium in a two-period model with overlapping generations and a financial sector, which is inspired by the model in Tabellini (1989). The public policy is chosen under majority rule by the agents currently alive. It demonstrates that the bailout policy adopted in the second period has important effects on the bank's financing decisions in the first period. By adopting a riskier financing regime (i.e. higher leverage) in the first period, the older generation can extract consumption from the younger generation in the second period. Sovereign backstops of the financial sector are state-contingent: they can appear costless for long periods of time but eventually result in a socialization of private-sector debt. It is this mechanism that makes implementing capital requirements costly to investors yet beneficial to the younger generation. The model also highlights two important issues: (i) bank capital is endogenous and (ii) proposed resolution mechanisms must be politically credible. It suggests that a major benefit of increasing and narrowing equity-capital requirements or increasing liquidity ratios is that they are implemented ex ante and therefore available either to absorb losses in the event of a crisis or to reduce the possibility of large drops in asset values. Finally, this chapter also provides a structure by which to interpret the stylized facts of Calomiris et al. (2014): that more populist political institutions are associated with more fragile financial systems.
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Patel, Ushma Kesha. "IMPROVING BEHAVIOR OF COMPUTER GAME BOTS USING FICITITOUS PLAY." OpenSIUC, 2011. https://opensiuc.lib.siu.edu/theses/562.
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In modern computer games, `bots' - Intelligent realistic agents play a prominent role in success of a game in the market. Typically, bots are modeled using finite-state machine and then programmed via simple conditional statements which are hard-coded in bots logic. Since these bots have become quite predictable to an experienced games' player, a player might lose interest in the game. We propose the use of a game theoretic based learning rule called Fictitious Play for improving behavior of these computer game bots which will make them less predictable and hence, more enjoyable to a game player.
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Bersier, Florian. "Design of online reputation systems : an economic perspective." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:deb557af-e848-481c-947e-94e0a4014994.
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Online reputation systems are certainly the most overlooked 'heroes' of today's social Web. While these mechanisms are a vital element of every online transaction, they have received less consideration than some of their more well-known cousins, such as recommender systems or social networks, whose success would often not have been possible and tenable without their discrete but active backing. It then follows that despite their value and importance, the implementation of current reputation mechanisms has mostly been the result of trial-and-error. Resting on an economic perspective, this thesis regroups three chapters whose frameworks and findings aim at helping mechanism designers and researchers understand key mechanisms at play and develop more efficient online reputation systems. The first chapter examines the optimal number of ratings a reputation mechanism must make publicly available within an online marketplace in order to minimize cheating and maximize Pareto efficiency. I develop a moral hazard stage game featuring fictitious players which has the compelling property to prevent reputation effects from disappearing in the long run. I show that the number of ratings displayed by a reputation system is a fundamental predictor of market efficiency, and that the latter number should be kept minimal in order to maximize social welfare in the market – especially for economies proposing interactions with a high profit margin. The second chapter studies how different classes of reporting behaviours commonly found online affect the reliability of a reputation mechanism. I develop an iterative stochastic approximation model which I use to construct a behavioural measure of efficiency, so-called 'reporting bias'. I demonstrate that reporting bias tends towards its maximum when raters comply with the reports left by their predecessors. Following this result, I recommend to keep the rating interface separated from the rest of the reputation system. I also find that fake ratings are particularly harmful when one type of behaviour is present in the economy and suggest to counterbalance sybil attacks by displaying pairs of contrasted ratings. Finally, I defend the use of the arithmetic mean against the median as a way to compute reputation scores. The third chapter analyses how 5-star rating scales can lead to the formation of bimodal distributions of ratings within online marketplaces. Using a 2-time period model featuring altruistic raters, I identify the existence of a 'blind spot' of unrated transactions whose magnitude increases in the cost of rating and decreases in the number of buyers inhabiting the economy. Developing an additional model featuring Bayesian agents suffering from confirmatory bias, I show that non-binary rating scales can leave space to ambiguity and possibly wrong posteriors, even in the long run. Overall, results of the chapter hint that fine-grained rating scales best suit signalling reputation systems while coarse-grained scales should be preferred for sanctioning mechanisms.
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Lemoine, Ida, and Peter Fredin. "How Does Ego Depletion Affect Moral Judgments and Pro-social Decisions?" Thesis, Linköpings universitet, Nationalekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111858.
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BACKGROUND: Today’s societal changes, including high rate of change and increasing information flows, are increasing the demand on the individual mental capacity. It becomes increasingly difficult to analytically process all the different dilemmas and everyday decisions as individuals have a limited mental capacity available to make these decisions. Thus, it has been suggested that ego-depleted relies more heavily on intuition, which is less burdensome, when making decision. However little is known about to what extent intuitive decisions differ from analytic. Are ego-depleted individuals more or less likely to maximize outcome in moral dilemmas involving conflicting values? Do ego depleted individuals become more or less willing to cooperate? Do ego depleted individuals become more or less altruistic? Is our intuition more or less in accordance with Homo Economicus?AIM: Starting from a Dual Process perspective on decision-making the aim of this study is to examine how ego depletion affects moral judgment and pro-social decisions.METHOD: A laboratory experiment involving 115 subjects, using real monetary incentives, was conducted among students at Linköping University. Subjects were randomized into one of two treatments. Everything was identical across treatments except for the initial ego-depletion manipulation. Using a standard paradigm for ego-depletion subjects in treatment 1 were put under high cognitive load while subjects in treatment two were put under low cognitive load. Subjects faced 16 questions divided into four different decision tasks: Moral dilemmas, Public Goods game, two types of Dictator Game where the type of sacrifice subjects could make in order to contribute money to charity was varied.RESULTS: Subjects in the high cognitive load treatment made fewer consequentialists moral judgments compared to other subjects (p = 0.075). The effect is especially strong when looking only at high-conflict dilemmas such as Crying Baby. No difference between treatments was found for the public goods games. In the dictator game involving monetary sacrifice subjects donated less money to charity when put under high cognitive load. However the finding was not significant (p = 0.292). No difference was found in the dictator game involving effort as personal sacrifice since almost everyone chooses to donate to charity.CONCLUSION: According to The Dual Process perspective this essay shows that intuitive thinking does not evidently lead to that they makes decision that more or less is in accordance with Homo Economicus. The connection between ego depletion and pro-social decisions is more complex. Further research needs to investigate which different mental shortcuts that individuals uses in various types of pro-social decisions and why intuitive and analytical decision-making differ between different decisions. Further research within the area can identify potential mechanisms and policies that can support individuals’ capacity to make decisions in accordance with their own and society’s preferences.
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Lee, Benjamin Nelson. "Lude behavior designing contexts for playing out the kingdom of God /." Theological Research Exchange Network (TREN), 2005. http://www.tren.com/search.cfm?p062-0272.
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Sontuoso, Alessandro. "Essays on social conformity : behavioural game theory models and experiment." Thesis, Royal Holloway, University of London, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.588302.
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Human conduct is often guided by conformist preferences, with "conformity" being the act of changing one's behaviour to match the purported beliefs of others. Informal norms regulating human behaviour play a crucial role in directing people's expectations, thereby favouring uniformity of behaviour. This thesis develops such insights by exploring the conditions for different categories of norms to be in operation. The first essay [Chapter 1] considers the motive that drives players when facing a problem of coordinating one another's actions for their mutual benefit. Chapter 1 suggests that for a "convention" (i.e.: a solution to a coordination game with multiple equilibria) to be in operation, conformity is dependent on the states one is aware of, that is, the specifications of the contingencies that each player perceives in the context of a given game. The second essay [Chapter2] focuses on the motivation that makes people comply with default rules of behaviour when facing a social dilemma (i.e.: a "mixed-motive" game). Chapter 2 suggests that individuals may feel guilt at violating a norm, and this painful emotion generates conformity under precisely stated conditions. The essay models a "norm" as a rule that dictates a set of strategy profiles: it is assumed that players hold a conjecture about the active player's norm- complying actions; a norm-driven decision maker is then modelled as a player with conformist preferences whose utility function is a linear combination of material and psychological payoffs. The third essay [Chapter3] provides an experimental test for conformist motivations by investigating the extent to which the peers' behaviour (as presumed by other players) serves the individual as a means to guiding her actions. Specifically, the experiment of Chapter 3 is designed to measure the impact of the beliefs of players in the same role on behaviour; the data show evidence of conformity being present.
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Costa-Gomes, Miguel A. "Essays on behavior and cognition in experimental game theory /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9907666.
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Krehbiel, Sara. "Strategic behavior and database privacy." Diss., Georgia Institute of Technology, 2015. http://hdl.handle.net/1853/53964.
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This dissertation focuses on strategic behavior and database privacy. First, we look at strategic behavior as a tool for distributed computation. We blend the perspectives of game theory and mechanism design in proposals for distributed solutions to the classical set cover optimization problem. We endow agents with natural individual incentives, and we show that centrally broadcasting non-binding advice effectively guides the system to a near-optimal state while keeping the original incentive structure intact.
We next turn to the database privacy setting, in which an analyst wishes to learn something from a database, but the individuals contributing the data want to protect their personal information. The notion of differential privacy allows us to do both by obscuring true answers to statistical queries with a small amount of noise. The ability to conduct a task differentially privately depends on whether the amount of noise required for privacy still permits statistical accuracy.
We show that it is possible to give a satisfying tradeoff between privacy and accuracy for a computational problem called independent component analysis (ICA), which seeks to decompose an observed signal into its underlying independent source variables. We do this by releasing a perturbation of a compact representation of the observed data. This approach allows us to preserve individual privacy while releasing information that can be used to reconstruct the underlying relationship between the observed variables.
In almost all of the differential privacy literature, the privacy requirement must be specified before looking at the data, and the noise added for privacy limits the statistical utility of the sanitized data. The third part of this dissertation ties together privacy and strategic behavior to answer the question of how to determine an appropriate level of privacy when data contributors prefer more privacy but an analyst prefers more accuracy. The proposed solution to this problem views privacy as a public good and uses market design techniques to
collect these preferences and then privately select and enforce a socially efficient level of privacy.
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Pitcher, Ashley Brooke. "Mathematical modelling and optimal control of constrained systems." Thesis, University of Oxford, 2009. http://ora.ox.ac.uk/objects/uuid:044a26ab-99dc-4b34-b4a3-04e5c0d61ba0.
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This thesis is concerned with mathematical modelling and optimal control of constrained systems. Each of the systems under consideration is a system that can be controlled by one of the variables, and this control is subject to constraints. First, we consider middle-distance running where a runner's horizontal propulsive force is the control which is constrained to be within a given range. Middle-distance running is typically a strategy-intensive race as slipstreaming effects come into play since speeds are still relatively fast and runners can leave their starting lane. We formulate a two-runner coupled model and determine optimal strategies using optimal control theory. Second, we consider two applications of control systems with delay related to R&D expenditure. The first of these applications relates to the defence industry. The second relates to the pharmaceutical industry. Both applications are characterised by a long delay between initial investment in R&D and seeing the benefits of R&D realised. We formulate models tailored to each application and use optimal control theory to determine the optimal proportion of available funds to invest in R&D over a given time horizon. Third, we consider a mathematical model of urban burglary based on the Short model. We make some modifications to this model including the addition of deterrence due to police officer presence. Police officer density is the control variable, which is constrained due to a finite number of police officers. We look at different control strategies for the police and their effect on burglary hot-spot formation.
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Яковлева, П. М., and P. M. Yakovleva. "Влияние принципов поведенческой экономики на формирование предложения в условиях тендерных закупок : магистерская диссертация." Master's thesis, б. и, 2021. http://hdl.handle.net/10995/100714.
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В условиях тендерных закупок значимым является учет влияния многих факторов при выборе стратегии ценового предложения участника, которые выходят за пределы классической экономики. Целью магистерской диссертации является разработка модели прогнозирования ценового предложения участников тендерных закупок. В работе рассматривается понятие прогнозирования ценового предложения, влияние факторов на участника тендерных закупок и принципы поведенческой экономики. В качестве источников использовалась научно-исследовательская и методическая литература, нормативно-правовые акты и статистические данные различных электронно-торговых площадок в открытом доступе. В магистерской диссертации была разработана модель прогнозирования ценового предложения участника тендерных закупок, базирующаяся на функции полезности Неймана-Моргенштерна, отличающаяся учетом влияния релевантных факторов, позволяющая корректировать тактику поведения участника для каждого шага торгов и максимизировать полезность предложения с точки зрения принципов поведенческой экономики.In terms of tender purchases, it is important to take into account the influence of many factors when choosing a bidder's price proposal strategy, which go beyond the classical economy. The aim of the master's thesis is to develop a model for forecasting the price offer of bidders. The paper discusses the concept of forecasting the price offer, the influence of factors on the participant in tender purchases and the principles of behavioral economics. The sources used were scientific research and methodological literature, regulatory legal acts and statistical data of various electronic trading platforms in the public domain. In the master's thesis, a model for predicting the price offer of a bidder was developed based on the Neumann-Morgenstern utility function, which takes into account the influence of relevant factors, which allows you to adjust the bidder's behavior tactics for each bidding step and maximize the utility of the offer in terms of the principles of behavioral economics.
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Ho, Ki-hiu, and 何其曉. "Extracting real market behavior in complex adaptive systems through minority game." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2004. http://hub.hku.hk/bib/B30163705.
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