Nicolás Della Penna

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We strengthen recent connections between prediction markets and learning by showing that a natural class of market makers can be understood as performing stochastic mirror descent when trader demands are sequentially drawn from a fixed distribution. This provides new insights into how market prices (and price paths) may be interpreted as a summary of the(More)
This paper examines the problem of social collaborative filtering (CF) to recommend items of interest to users in a social network setting. Unlike standard CF algorithms using relatively simple user and item features, recommendation in social networks poses the more complex problem of learning user preferences from a rich and complex set of user profile and(More)
We propose a flexible framework for profit-seeking market making by combining cost function based automated market makers with bandit learning algorithms. The key idea is to consider each parametrisation of the cost function as a bandit arm, and the minimum expected profits from trades executed during a period as the rewards. This allows for the creation of(More)
A common use of crowd sourcing is to obtain labels for a dataset. Several algorithms have been proposed to identify uninformative members of the crowd so that their labels can be disregarded and the cost of paying them avoided. One common motivation of these algorithms is to try and do without any initial set of trusted labeled data. We analyse this class(More)
Collective intelligence is believed to underly the remarkable success of human society. The formation of accurate shared beliefs is one of the key components of human collective intelligence. How are accurate shared beliefs formed in groups of fallible individuals? Answering this question requires a multiscale analysis. We must understand both the(More)
Market-makers serve an important role as providers of liquidity and order in financial markets, particularly during periods of high volatility. Optimal market-makers solve a sequential decision making problem, where they face an exploration versus exploitation dilemma at each time step. A belief state MDP based solution was presented by Das and(More)
Zero-sum stochastic games provide a formalism to study competitive sequential interactions between two agents with diametrically opposing goals and evolving state. A solution to such games with discrete state was presented by Littman (Littman, 1994). The continuous state version of this game remains unsolved. In many instances continuous state solutions(More)
Social scientists have long sought to understand why certain people, items, or options become more popular than others. One seemingly intuitive theory is that inherent value drives popularity. An alternative theory claims that popularity is driven by the rich-get-richer effect of cumulative advantage---certain options become more popular, not because they(More)
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