Articles

A Minority Game with Bounded Recall

J. Renault, M. SCARSINI, T. TOMALA

Mathematics of Operations Research

novembre 2007, vol. 32, n°4, pp.873-889

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

Mots clés : Folk theorem, de Bruijn sequence, Imperfect monitoring, Uniform equilibrium, Public equilibrium, Private equilibrium

http://ssrn.com/abstract=2019691


This paper studies a repeated minority game with public signals, symmetric bounded recall, and pure strategies. We investigate both public and private equilibria of the game with fixed recall size. We first show how public equilibria in such a repeated game can be represented as colored subgraphs of a de Bruijn graph. Then we prove that the set of public equilibrium payoffs with bounded recall converges to the set of uniform equilibrium payoffs as the size of the recall increases. We also show that private equilibria behave badly: A private equilibrium payoff with bounded recall need not be a uniform equilibrium payoff

Calibration Accuracy of a Judgmental Process that Predicts the Commercial Success of New Product Ideas

T. B. ASTEBRO, D. Koehler

Journal of Behavioral Decision Making

octobre 2007, vol. 20, n°4, pp.381-403

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

Mots clés : Intuitive judgment, Forecasting, Calibration, Bootstrapping, Case-based judgment

http://ssrn.com/abstract=361100


We examine the accuracy of forecasts of the commercial potential of new product ideas by experts at an Inventor's Assistance Program (IAP). Each idea is evaluated in terms of 37 attributes or cues, which are subjectively rated and intuitively combined by an IAP expert to arrive at a forecast of the idea's commercialization prospects. Data regarding actual commercialization outcomes for 559 new product ideas were collected to examine the accuracy of the IAP forecasts. The intensive evaluation of each idea conducted by the IAP produces forecasts that accurately rank order the ideas in terms of their probability of commercialization. The focus of the evaluation process on case-specific evidence that distinguishes one idea from another, however, and the corresponding neglect of aggregate considerations such as the base rate (BR) and predictability of commercialization for new product ideas in general, yields forecasts that are systematically miscalibrated in terms of their correspondence to the actual probability of commercialization.

Eliciting Gul's theory of disappointment aversion by the tradeoff method

M. ABDELLAOUI, H. Bleichrodt

Journal of Economic Psychology

décembre 2007, vol. 28, n°6, pp.631-645

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

Mots clés : Disappointment aversion, Tradeoff method, Nonexpected utility, Probability weighting, Sign-dependence


Gul's theory of disappointment aversion (DA) has several attractive features, being intuitive, analytically tractable, and parsimonious. In spite of this, the DA model has received little attention in practical applications, which may be partly due to the absence of a procedure to elicit the model. We show how the tradeoff method, developed by Wakker and Deneffe can be used to elicit DA. Our elicitation method is parameter-free: it requires no assumption about utility and/or disappointment aversion. Quantitative tests of DA in three outcome domains, monetary gains, monetary losses, and life-years, suggest that the DA model is too parsimonious. Of the other models of disappointment aversion that have been proposed in the literature, our data are most consistent with the model of Loomes and Sugden

Improved second-order bounds for prediction with expert advice

N. Cesa-Bianchi, Y. Mansour, G. STOLTZ

Machine Learning

mars 2007, vol. 66, n°2, pp.321-352

Départements : Economie et Sciences de la décision

Mots clés : Individual sequences, Prediction with expert advice, Exponentially weighted averages


This work studies external regret in sequential prediction games with both positive and negative payoffs. External regret measures the difference between the payoff obtained by the forecasting strategy and the payoff of the best action. In this setting, we derive new and sharper regret bounds for the well-known exponentially weighted average forecaster and for a second forecaster with a different multiplicative update rule. Our analysis has two main advantages: first, no preliminary knowledge about the payoff sequence is needed, not even its range; second, our bounds are expressed in terms of sums of squared payoffs, replacing larger first-order quantities appearing in previous bounds. In addition, our most refined bounds have the natural and desirable property of being stable under rescalings and general translations of the payoff sequence.

Indirect robust estimation of the short-term interest rate process

V. CZELLAR, G. Andrew Karolyi, E. Ronchetti

Journal of Empirical Finance

septembre 2007, vol. 14, n°4, pp.546-563

Départements : Economie et Sciences de la décision

Mots clés : GMM and RGMM estimators, Indirect inference

http://ssrn.com/abstract=672342


We propose Indirect Robust Generalized Method of Moments (IRGMM), a simulation-based estimationmethodology, to model short-term interest rate processes. The primary advantage of IRGMM relative toclassical estimators of the continuous-time short-rate diffusion processes is that it corrects both the errorsdue to discretization and the errors due to model misspecification. We apply this approach to monthly USrisk free rates and to various monthly Eurocurrency rates and provide extensive evidence of its predictiveperformances in a variety of settings.

Inference and model choice for sequentially ordered hidden Markov models

N. CHOPIN

Journal of the Royal Statistical Society: Series B - Statistical Methodology

mars 2007, vol. 69, n°2, pp.269-284

Départements : Economie et Sciences de la décision

Mots clés : Hidden Markov models, Label switching, Particle filtering, Sequential Monte Carlo sampling, Time ordering


The system equation of a hidden Markov model is rewritten to label the components by order of appearance, and to make explicit the random behaviour of the number of components, m<sub> t</sub>. We argue that this reformulation is often a good way to achieve identifiability, as it facilitates the interpretation of the posterior density, and the estimation of the number of components that have appeared in a given sample. We develop a sequential Monte Carlo algorithm for estimating the reformulated model, which relies on particle filtering and Gibbs sampling. Our algorithm has a computational cost that is similar to that of a Markov chain Monte Carlo sampler and is much less likely to be affected by label switching, i.e. the possibility of becoming trapped in a local mode of the posterior density. The extension to transdimensional priors is also considered. The approach is illustrated by two real data examples.

Influence of skin colour on the detection of cutaneous erythema and tanning phenomena using reflectance spectrophotometry

J. Latreille, S. Gardinier, L. Ambroisine, E. Mauger, M. TENENHAUS, S. Guéhenneux, F. Morizot, E. Tschachler, C. Guinot

Skin Research and Technology

août 2007, vol. 13, n°3, pp.236-241

Départements : Economie et Sciences de la décision

Mots clés : Erythema, Individual typological angle, Partial least squares discriminant analysis, Skin colour;spectrophotometer, Tanning


Background/purpose:Background/purpose: This research aims at assessing the influence of baseline skin colour on the ability of reflectance spectrophotometry to detect cutaneous erythema induced by a low concentration of methyl nicotinate (2.5 mM) (first objective), and to detect tanning induced by ultraviolet rays (UVA+UVB) at infra-erythemal doses (second objective).Methods: Two independent studies were conducted to reach their respective objectives, on 27 women for the first study and on 12 women for the second study. Skin colour measurements were expressed in two different ways: percentages of reflected light at increasing wavelengths ¿ (400 nm<¿<700 nm, at 10 nm intervals), and chromametric coordinates of the CIELab 1976 system and individual typological angle (ITA°). Partial least squares discriminant analysis was performed to identify percentages of reflected light that allow the discrimination of the observations obtained after methyl nicotinate application from those obtained after water application (control). The same method was used for the discrimination of the measurements obtained after UV irradiation from those obtained before UV irradiation (control).Results and discussion: The cutaneous erythema induced by a low concentration of methyl nicotinate was detected only in subjects with fair to very fair skin defined by ITA=40°. The assumption is that in the darkest skins, the emitted light is mainly absorbed by the melanin in the epidermis. Otherwise, after UV irradiation, the tanning was detectable only for individuals with fair to dark skin defined by ITA <50°. This can be explained by the fact that UV stimulation of the fairest skin subjects, known to be melano-compromised individuals, can only produce a weak tanning that our study did not succeed in detecting

Inventor Perseverance after Being Told to Quit: The Role of Cognitive Biases

T. B. ASTEBRO, S.A. Jeffrey, G. Adomdza

Journal of Behavioral Decision Making

juillet 2007, vol. 20, n°3, pp.253-272

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

Mots clés : Inventor behavior, Sunk-cost bias, Optimism, Overconfidence, Decision biases

http://ssrn.com/abstract=925223


We find that approximately one third (29%) of independent inventors continue to spend money and 51% continue to spend time on projects after receiving highly diagnostic advice to cease effort. Using survey data from actual inventors, this paper studies the role of overconfidence, optimism, and the sunk-cost bias in these decisions. We find that inventors are more overconfident and optimistic than the general population. We also find that optimism and past expenditures increased perseverance after being told to quit, while overconfidence in judgment ability had no effect. After being told to quit, optimists spend 166% more than pessimists and those having already spent, for example, $ 10 000 spend another $ 10 000.

Inventory, Speculation, and Sourcing Strategies in the Presence of Online Exchanges

J. MILNER, P. KOUVELIS

Manufacturing & Service Operations Management

Summer 2007, vol. 9, n°3

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


L'a priori et l'a posteriori en économie

P. MONGIN

Recherches Economiques de Louvain / Louvain Economic Review

2007, vol. 73, n°1, pp.5-53

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


Un article précédent étudiait la distinction sémantique de l'analytique et du synthétique et l'appliquait à la micro-économie; celui-ci confronte les propositions micro-économiques fondamentales à la distinction épistémologique de l'a priori et de l'a posteriori (ou de l'empirique), tout en s'efforçant de systématiser les quatre concepts. Après avoir repris la définition kantienne de l'a priori et le problème célèbre du synthétique a priori, on met n place deux grandes interprétations des propositions fondamentales, l'empirisme (illustré par l'école classique anglaise) et l'apriorisme (illustré par von Mises au sein de l'école néo-classique autrichienne). On récuse les deux interprétations ' la seconde avec plus de détail que la première. On conclut que les propositions fondamentales sont synthétiques, mais ni a priori, ni a posteriori; cette catégorie échappe aux découpages ordinaires. On défend l'interprétation nouvelle en étudiant la loi des rendements décroissants et l'hypothèse de convexité des ensembles de production.


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