Abstract
The traditional econometrics approach for inferring properties of strategic interactions that are not fully observable in the data, heavily relies on the assumption that the observed strategic behavior has settled at an equilibrium. This assumption is not robust in complex economic environments such as online markets where players are typically unaware of all the parameters of the game in which they are participating, but rather only learn their utility after taking an action. Behavioral models from online learning theory have recently emerged as an attractive alternative to the equilibrium assumption and have been extensively analyzed from a theoretical standpoint in the algorithmic game theory literature over the past decade. In this letter we survey two recent works, [Nekipelov et al. 2015, Hoy et al. 2015], in which we take a learning agent approach to econometrics, i.e. infer properties of the game, such as private valuations or efficiency of observed allocation, by only assuming that the observed repeated behavior is the outcome of a no-regret learning algorithm, rather than a static equilibrium. In both works we apply our methods to datasets from Microsoft's sponsored search auction system.
- Athey, S. and Nekipelov, D. 2010. A structural model of sponsored search advertising auctions. In Sixth ad auctions workshop.Google Scholar
- Bajari, P., Hong, H., and Nekipelov, D. 2013. Game theory and econometrics: a survey of some recent results. Advances in Economics and Econometrics 3.Google Scholar
- Blum, A., Hajiaghayi, M., Ligett, K., and Roth, A. 2008. Regret minimization and the price of total anarchy. In Proceedings of the Fortieth Annual ACM Symposium on Theory of Computing. STOC '08. ACM, New York, NY, USA, 373--382. Google ScholarDigital Library
- Foster, D. P. and Vohra, R. V. 1997. Calibrated learning and correlated equilibrium. Games and Economic Behavior 21, 12, 40--55.Google ScholarCross Ref
- Freund, Y. and Schapire, R. E. 1999. Adaptive game playing using multiplicative weights. Games and Economic Behavior 29, 1, 79--103.Google ScholarCross Ref
- Hartline, J., Hoy, D., and Taggart, S. 2014. Price of Anarchy for Auction Revenue. In ACM Conference on Economics and Computation. ACM Press, New York, New York, USA, 693--710. Google ScholarDigital Library
- Hoy, D., Nekipelov, D., and Syrgkanis, V. 2015. Robust data-driven efficiency guarantees in auctions. 1st Workshop on Algorithmic Game Theory and Data Science and CoRR abs/1505.00437.Google Scholar
- Nekipelov, D., Syrgkanis, V., and Tardos, E. 2015. Econometrics for learning agents. In Proceedings of the 16th ACM Conference on Economics and Computation. EC'15. Google ScholarDigital Library
- Roughgarden, T. 2009. Intrinsic robustness of the price of anarchy. In Proceedings of the 41st annual ACM symposium on Theory of computing. STOC '09. ACM, New York, NY, USA, 513--522. Google ScholarDigital Library
- Syrgkanis, V. and Tardos, E. 2013. Composable and efficient mechanisms. In Proceedings of the Forty-fifth Annual ACM Symposium on Theory of Computing. STOC '13. ACM, New York, NY, USA, 211--220. Google ScholarDigital Library
Index Terms
- Algorithmic game theory and econometrics
Recommendations
Econometrics for Learning Agents
EC '15: Proceedings of the Sixteenth ACM Conference on Economics and ComputationThe main goal of this paper is to develop a theory of inference of player valuations from observed data in the generalized second price auction without relying on the Nash equilibrium assumption. Existing work in Economics on inferring agent values from ...
Selling to a No-Regret Buyer
EC '18: Proceedings of the 2018 ACM Conference on Economics and ComputationWe consider the problem of a single seller repeatedly selling a single item to a single buyer (specifically, the buyer has a value drawn fresh from known distribution D in every round). Prior work assumes that the buyer is fully rational and will ...
A Novel Bid Optimizer for Sponsored Search Auctions Using Cooperative Game Theory
WI-IAT '09: Proceedings of the 2009 IEEE/WIC/ACM International Joint Conference on Web Intelligence and Intelligent Agent Technology - Volume 02In this paper, we propose a bid optimizer for sponsored keyword search auctions which leads to better retention of advertisers by yielding attractive utilities to the advertisers without decreasing the revenue to the search engine. The bid optimizer is ...
Comments