Using or Hiding Private Information ? An Experimental Study of Zero-Sum Repeated Games with Incomplete Information

This paper studies experimentally the value of private information in strictly competitive interactions with asymmetric information. We implement in the laboratory three examples from the class of zero-sum repeated games with incomplete information on one side and perfect monitoring. The stage games share the same simple structure, but differ markedly on how information should be optimally used once they are repeated. Despite the complexity of the optimal strategies, the empirical value of information coincides with the theoretical prediction in most instances. In particular, it is never negative, it decreases with the number of repetitions, and it is nicely bounded below by the value of the infinitely repeated game and above by the value of the one-shot game. Subjects are unable to completely ignore their information when it is optimal to do so, but the use of information in the lab reacts qualitatively well to the type and length of the game being played.Concavification, laboratory experiments, incomplete information, value of information, zero-sum repeated games.

The times change: multivariate subordination, empirical facts

The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.

High frequency correlation modelling

Many statistical arbitrage strategies, such as pair trading or basket trading, are based on several assets. Optimal execution routines should also take into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. We develop a theoretical framework based on correlated point processes in order to capture the Epps effect in section 1. We show in section 2 that this model converges to correlated Brownian motions when moving to large time scales. A way of introducing non-Gaussian correlations is also discussed in section 2. We conclude by addressing the limits of this model and further research on high frequency correlation.

Semiclassical approach to ground-state properties of hard-core bosons in two dimensions

Motivated by some inconsistencies in the way quantum fluctuations are included beyond the classical treatment of hard-core bosons on a lattice in the recent literature, we revisit the large-S semi-classical approach to hard-core bosons on the square lattice at T=0. First of all, we show that, if one stays at the purely harmonic level, the only correct way to get the 1/S correction to the density is to extract it from the derivative of the ground state energy with respect to the chemical potential, and that to extract it from a calculation of the ground state expectation value of the particle number operator, it is necessary to include 1/\sqrt{S} corrections to the harmonic ground state. Building on this alternative approach to get 1/S corrections, we provide the first semiclassical derivation of the momentum distribution, and we revisit the calculation of the condensate density. The results of these as well as other physically relevant quantities such as the superfluid density are systematically compared to quantum Monte Carlo simulations. This comparison shows that the logarithmic corrections in the dilute Bose gas limit are only captured by the semi-classical approach if the 1/S corrections are properly calculated, and that the semi-classical approach is able to reproduce the 1/k divergence of the momentum distribution at k=0. Finally, the effect of 1/S^2 corrections is briefly discussed.Comment: 14 pages, 8 figure