12,330 research outputs found

    Pricing average price advertising options when underlying spot market prices are discontinuous

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    Advertising options have been recently studied as a special type of guaranteed contracts in online advertising, which are an alternative sales mechanism to real-time auctions. An advertising option is a contract which gives its buyer a right but not obligation to enter into transactions to purchase page views or link clicks at one or multiple pre-specified prices in a specific future period. Different from typical guaranteed contracts, the option buyer pays a lower upfront fee but can have greater flexibility and more control of advertising. Many studies on advertising options so far have been restricted to the situations where the option payoff is determined by the underlying spot market price at a specific time point and the price evolution over time is assumed to be continuous. The former leads to a biased calculation of option payoff and the latter is invalid empirically for many online advertising slots. This paper addresses these two limitations by proposing a new advertising option pricing framework. First, the option payoff is calculated based on an average price over a specific future period. Therefore, the option becomes path-dependent. The average price is measured by the power mean, which contains several existing option payoff functions as its special cases. Second, jump-diffusion stochastic models are used to describe the movement of the underlying spot market price, which incorporate several important statistical properties including jumps and spikes, non-normality, and absence of autocorrelations. A general option pricing algorithm is obtained based on Monte Carlo simulation. In addition, an explicit pricing formula is derived for the case when the option payoff is based on the geometric mean. This pricing formula is also a generalized version of several other option pricing models discussed in related studies.Comment: IEEE Transactions on Knowledge and Data Engineering, 201

    Entropy and typical properties of Nash equilibria in two-player games

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    We use techniques from the statistical mechanics of disordered systems to analyse the properties of Nash equilibria of bimatrix games with large random payoff matrices. By means of an annealed bound, we calculate their number and analyse the properties of typical Nash equilibria, which are exponentially dominant in number. We find that a randomly chosen equilibrium realizes almost always equal payoffs to either player. This value and the fraction of strategies played at an equilibrium point are calculated as a function of the correlation between the two payoff matrices. The picture is complemented by the calculation of the properties of Nash equilibria in pure strategies.Comment: 6 pages, was "Self averaging of Nash equilibria in two player games", main section rewritten, some new results, for additional information see http://itp.nat.uni-magdeburg.de/~jberg/games.htm

    Trust among Strangers

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    The trust building process is basic to social science. We investigate it in a laboratory setting using a novel multi-stage trust game where social gains are achieved if players trust each other in each stage. And in each stage, players have an opportunity to appropriate these gains or be trustworthy by sharing them. Players are strangers because they do not know the identity of others and they will not play them again in the future. Thus there is no prospect of future interaction to induce trusting behavior. So, we study the trust building process where there is little scope for social relations and networks. Standard game theory, which assumes all players are opportunistic, untrustworthy, and should have zero trust for others is used to construct a null hypothesis. We test whether people are trusting or trustworthy and examine how inferring the intentions of those who trust affects trustworthiness. We also investigate the effect of stake on trust, and study the evolution of trust. Results show subjects exhibit some degree of trusting behavior though a majority of them are not trustworthy and claim the entire social gain. Players are more reluctant to trust in later stages than in earlier ones and are more trustworthy if they are certain of the trustee’s intention. Surprisingly, subjects are more trusting and trustworthy when the stake size increases. Finally, we find the sub- population who invests in initiating the trust building process modifies its trusting behavior based on the relative fitness of trust.Experimental Economics, Behavioral Economics

    Do Attitudes Towards Corruption Differ Across Cultures? Experimental Evidence from Australia, India, Indonesia andSingapore

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    This paper examines cultural differences in attitudes towards corruption by analysing individual-decision making in a corrupt experimental environment. Attitudes towards corruption play a critical role in the persistence of corruption. Our experiments differentiate between the incentives to engage in corrupt behaviour and the incentives to punish corrupt behaviour and allow us to explore whether, in environments characterized by lower levels of corruption, there is both a lower propensity to engage in corrupt behaviour and a higher propensity to punish corrupt behaviour. Based on experiments run in Australia (Melbourne), India (Delhi), Indonesia (Jakarta) and Singapore, we find that there is more variation in the propensities to punish corrupt behaviour than in the propensities to engage in corrupt behaviour across cultures. The results reveal that the subjects in India exhibit a higher tolerance towards corruption than the subjects in Australia while the subjects in Indonesia behave similarly to those in Australia. The subjects in Singapore have a higher propensity to engage in corruption than the subjects in Australia. We also vary our experimental design to examine the impact of a more effective punishment system and the effect of the perceived cost of bribery.Corruption, Experiments, Punishment, Cultural Analysis

    Gender and Corruption: Insights from an Experimental Analysis

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    In recent years, a substantial body of work has emerged in the social sciences exploring differences in the behavior of men and women in various contexts. This paper contributes to this literature by investigating gender differences in attitudes towards corruption. It departs from the previous literature on gender and corruption by using experimental methodology. Attitudes towards corruption play a critical role in the persistence of corruption. Based on experimental data collected in Australia (Melbourne), India (Delhi), Indonesia (Jakarta) and Singapore, we show that while women in Australia are less tolerant of corruption than men in Australia, there are no significant gender differences in attitudes towards corruption in India, Indonesia and Singapore. Hence, our findings suggest that the gender differences found in the previous studies may not be nearly as universal as stated and may be more culture-specific. We also explore behavioral differences by gender across countries and find that there are larger variations in women’s attitudes towards corruption than in men’s across the countries in our sample.Gender, Corruption, Experiments, Punishment, Multicultural Analysis

    Phase Transition in Evolutionary Games

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    The evolution of cooperative behaviour is studied in the deterministic version of the Prisoners' Dilemma on a two-dimensional lattice. The payoff parameter is set at the critical region 1.8<b<2.01.8 < b < 2.0 , where clusters of cooperators are formed in all spatial sizes. Using the factorial moments developed in particle and nuclear physics for the study of phase transition, the distribution of cooperators is studied as a function of the bin size covering varying numbers of lattice cells. From the scaling behaviour of the moments a scaling exponent is determined and is found to lie in the range where phase transitions are known to take place in physical systems. It is therefore inferred that when the payoff parameter is increased through the critical region the biological system of cooperators undergoes a phase transition to defectors. The universality of the critical behaviour is thus extended to include also this particular model of evolution dynamics.Comment: 12 pages + 3 figures, latex, submitted to Natur
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