Intermediated blind portfolio auctions / Michael Padilla in Management science, Vol 58 N°9 (Septembre 2012)  

Public ISBD [article]  inManagement science > Vol 58 N°9 (Septembre 2012) . - pp.1747-1760 Titre : Intermediated blind portfolio auctions Type de document : texte imprimé Auteurs : Michael Padilla, Auteur ; Benjamin Van Roy, Auteur Année de publication : 2012 Article en page(s) : pp.1747-1760 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance Games–group decisions Bidding–auctions Information systems IT policy and management Electronic commerce Résumé : As much as 12% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves sales by institutional investors to brokers through blind portfolio auctions. Such transactions typically take the form of a first-price sealed-bid auction in which the seller engages a few potential brokers and provides limited information about the portfolio being sold. Uncertainty about the portfolio contents reduces bids, effectively increasing the transaction cost paid by the seller. We consider the use of a trusted intermediary or equivalent cryptographic protocol to reduce transaction costs. In particular, we propose a mechanism through which each party provides relevant private information to an intermediary who ultimately reveals only the portfolio contents and price paid, and only to the seller and winning broker. Through analysis of a game-theoretic model, we demonstrate substantial potential benefits to sellers. For example, under reasonable assumptions a seller can reduce expected transaction costs by more than 10%. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/06/15/mnsc.1120.1521.abstra [...] [article] Intermediated blind portfolio auctions [texte imprimé] / Michael Padilla, Auteur ; Benjamin Van Roy, Auteur . - 2012 . - pp.1747-1760. Management Langues : Anglais (eng) in Management science > Vol 58 N°9 (Septembre 2012) . - pp.1747-1760 Mots-clés : Finance Games–group decisions Bidding–auctions Information systems IT policy and management Electronic commerce Résumé : As much as 12% of the daily volume on the New York Stock Exchange, and similar volumes on other major world exchanges, involves sales by institutional investors to brokers through blind portfolio auctions. Such transactions typically take the form of a first-price sealed-bid auction in which the seller engages a few potential brokers and provides limited information about the portfolio being sold. Uncertainty about the portfolio contents reduces bids, effectively increasing the transaction cost paid by the seller. We consider the use of a trusted intermediary or equivalent cryptographic protocol to reduce transaction costs. In particular, we propose a mechanism through which each party provides relevant private information to an intermediary who ultimately reveals only the portfolio contents and price paid, and only to the seller and winning broker. Through analysis of a game-theoretic model, we demonstrate substantial potential benefits to sellers. For example, under reasonable assumptions a seller can reduce expected transaction costs by more than 10%. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/06/15/mnsc.1120.1521.abstra [...]

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Manipulation robustness of collaborative filtering / Benjamin Van Roy in Management science, Vol. 56 N° 11 (Novembre 2010)  

Public ISBD [article]  inManagement science > Vol. 56 N° 11 (Novembre 2010) . - pp. 1911-1929 Titre : Manipulation robustness of collaborative filtering Type de document : texte imprimé Auteurs : Benjamin Van Roy, Auteur ; Xiang Yan, Auteur Année de publication : 2011 Article en page(s) : pp. 1911-1929 Note générale : Management Langues : Anglais (eng) Mots-clés : Enabling technologies (includes artificial intelligence Machine learning, and data mining technologies) Probability Stochastic model applications Statistics Nonparametric Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : A collaborative filtering system recommends to users products that similar users like. Collaborative filtering systems influence purchase decisions and hence have become targets of manipulation by unscrupulous vendors. We demonstrate that nearest neighbors algorithms, which are widely used in commercial systems, are highly susceptible to manipulation and introduce new collaborative filtering algorithms that are relatively robust. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/11/1911 [article] Manipulation robustness of collaborative filtering [texte imprimé] / Benjamin Van Roy, Auteur ; Xiang Yan, Auteur . - 2011 . - pp. 1911-1929. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 11 (Novembre 2010) . - pp. 1911-1929 Mots-clés : Enabling technologies (includes artificial intelligence Machine learning, and data mining technologies) Probability Stochastic model applications Statistics Nonparametric Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : A collaborative filtering system recommends to users products that similar users like. Collaborative filtering systems influence purchase decisions and hence have become targets of manipulation by unscrupulous vendors. We demonstrate that nearest neighbors algorithms, which are widely used in commercial systems, are highly susceptible to manipulation and introduce new collaborative filtering algorithms that are relatively robust. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/cgi/content/abstract/56/11/1911

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