A folk theorem for minority games

S. Scarlatti, M. SCARSINI, J. Renault

Games and Economic Behavior

2005, vol. 53, n°2, pp.208-230

Départements : Economie et Sciences de la décision

We study a particular case of repeated games with public signals. In the stage game an odd number of players have to choose simultaneously one of two rooms. The players who choose the less crowded room receive a reward of one euro (whence the name "minority game"). The players in the same room do not recognize each other, and between the stages only the current majority room is publicly announced. We show that in the infinitely repeated game any feasible payoff can be achieved as a uniform equilibrium payoff, and as an almost sure equilibrium payoff. In particular we construct an inefficient equilibrium where, with probability one, all players choose the same room at almost all stages. This equilibrium is sustained by punishment phases which use, in an unusual way, the pure actions that were played before the start of the punishment

A note on comparative downside risk aversion

M. SCARSINI, S. Modica

Journal of Economic Theory

2005, vol. 122, n°2, pp.267-271

Départements : Economie et Sciences de la décision

We provide comparative global conditions for downside risk aversion, which are similar to the ones studied by Ross for risk aversion. We define a coefficient of downside risk aversion, and study its local properties

Archimedean copulae and positive dependence

A. Müller, M. SCARSINI

Journal of Multivariate Analysis

2005, vol. 93, pp.434-445

Départements : Economie et Sciences de la décision

Mots clés : Conditionally increasing, MTP2, Positive lower orthant dependent, Exchangeability, Binary sequences

Choice-based Elicitation and Decomposition of Decision Weights for Gains and Losses under Uncertainty

M. ABDELLAOUI, M. Vossmann, M. Weber

Management Science

2005, vol. 51, n°9, pp.1384-1399

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Decision under uncertainty, Choquet expected utility, Cumulative prospect theory, Decision weights, Choice-based probabilities, Probability weighting

Continuous-Time Games of Timing

R. Laraki, E. Solan, N. VIEILLE

Journal of Economic Theory

février 2005, vol. 120, n°2, pp.206-238

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Timing games, Continuous-time games, Games of timing, War of attrition, Preemption games

We address the question of existence of equilibrium in general timing games with complete information. Under weak assumptions, any two-player timing game has a Markov subgame perfect -equilibrium, for each >0. This result is tight. For some classes of games (symmetric games, games with cumulative payoffs), stronger existence results are established

Excess Price Volatility and Financial Innovation

A. CITANNA, K. Schmedders

Economic Theory

octobre 2005, vol. 26, n°3, pp.559-588

Départements : Economie et Sciences de la décision

Mots clés : Incomplete markets, Financial innovation, Volatility

In a three-period finite exchange economy with incomplete financial markets and retrading, we study the effects of the degree of incompleteness and of changes in the financial structure on asset price volatility. In what are essentially no aggregate risk economies, asset price volatility is a sunspot-like phenomenon. If markets are completed by financial innovation, asset price volatility reduction is generic. With aggregate risk, changes in the financial structure affect asset price volatility through a pecuniary externality. Financial innovation which decreases equilibrium price volatility can be crafted under conditions of sufficient market incompleteness. Numerical examples illustrate the role of risk aversion for volatility changes and show that, with or without aggregate risk, reducing the degree of incompleteness per se is not necessarily associated with a volatility reduction

Fact-Free Learning

E. Aragones, I. GILBOA, A. Postlewaite, D. Schmeidler

American Economic Review

2005, vol. 95, pp.1355-1368

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Fragmentation, Engel's Law and Learning

H. Wan, A.-T. GOH

Review of International Economics

2005, vol. 13, n°3, pp.518-528

Départements : Economie et Sciences de la décision

This paper outlines the conditions under which trade is beneficial for a developing country's growth. A developing country suffers from two disadvantages: low income and a comparative disadvantage in the production of modern manufactured goodsgoods which allow a high rate of human capital accumulation through learning by doing. Low income together with Engel's law imply that developing countries consume and produce very few modern goods in autarky and hence grow slowly. With international fragmentation of production, a developing country may find comparative advantage in the production of some stages of modern goods despite an absence of comparative advantage in the production of modern goods under "100% local content." More resources can then be allocated to the modern goods sector leading to greater learning externalities and hence growth under free trade than in autarky

Internal regret in on-line portfolio selection

G. STOLTZ, G. Lugosi

Machine Learning

mai 2005, vol. 59, n°1, pp.125-159

Départements : Economie et Sciences de la décision

Mots clés : Individual sequences, Internal regret, On-line investment, Universal Portfolio, EG strategy

This paper extends the game-theoretic notion of internal regret to the case of on-line potfolio selection problems. New sequential investment strategies are designed to minimize the cumulative internal regret for all possible market behaviors. Some of the introduced strategies, apart from achieving a small internal regret, achieve an accumulated wealth almost as large as that of the best constantly rebalanced portfolio. It is argued that the low-internal-regret property is related to stability and experiments on real stock exchange data demonstrate that the new strategies achieve better returns compared to some known algorithms.

Knowledge Diffusion, Input Supplier's Technological Effort and Technology Transfer via Vertical Relationships


Journal of International Economics

juillet 2005, vol. 66, n°2, pp.527-540

Départements : Economie et Sciences de la décision

This paper studies the effect of knowledge diffusion on the incentives for developed countries' (DC) firms to undertake costly technology transfer to their less developed countries' (LDC) suppliers whose cost of production varies inversely with their technological effort. When the incumbent supplier's cost of improving efficiency is high, diffusion of knowledge to other potential input producers encourages technology transfer, as it increases upstream competition. However, and in sharp contrast to existing literature, when technological effort is less costly, knowledge diffusion discourages technology transfer by reducing the incumbent supplier's technological effort