Centre for Mathematical Social Science

From Vince Conitzer and Preston McAfee:

Dear colleagues, we’re happy to announce that ACM TEAC (Transactions
on Economics and Computation) is now ready for submissions. You can
learn more about this new journal here: http://www.sigecom.org/teac/

If you’ve already tried to submit something by e-mail or otherwise,
please submit your paper again from scratch at:

http://mc.manuscriptcentral.com/teac

(with our apologies).

Please send us any questions or concerns. We look forward to your submissions.

Speaker: Arkadii Slinko, Geoffrey Pritchard and Mark Wilson
Affiliation: The University of Auckland
Title: CMSS seminar devoted to referendum on electoral system in NZ
Date: Tuesday, 23 Aug 2011
Time: 4:00 pm
Location: Room 6115, Owen Glenn Building

On 26 November 2011 New Zealanders will vote in a referendum asking whether they want to retain the MMP electoral system, and if that system were to be changed, which of four other systems they would prefer. In this seminar we will have two talks in relation to this and general discussion.

[Note: slides for Pritchard-Wilson talk are available.]

1) Choosing how to choose an electoral system – 20 min
Arkadii Slinko

In this short talk I will introduce the options, i.e., the rules we are to choose from, list their obvious drawbacks and outline general principles on the basis of which, I believe, the choice should be made.

2) Referendum options simulator project – 40 min
Geoffrey Pritchard and Mark Wilson

The Electoral Commission has provided qualitative information about each of the five systems. We have created an online simulator that aims to allow a more quantitative comparison by estimating the seat distribution in Parliament under each of the systems, for each user-specified polling scenario.

We use NZ-specific data rather than general results for artificial societies. This immediately raises important modelling questions and particular issues around lack of data and spatial distribution of party support. Other obstacles include the specification in the referendum legislation that 120 electorates be used for each system, requiring us to perform redistricting. In this talk we shall present the simulator and discuss its internal workings and some representative results. Audience questions and comments are strongly invited.

3) General discussion – 30 min

Everyone welcome!

New Zealanders will vote in a referendum in November asking whether they want to change the current voting system used for deciding the makeup of Parliament.

Dr Geoffrey Pritchard and Dr Mark C. Wilson, members of the Centre for Mathematical Social Science at the University of Auckland, have created a simulator intended to voters to compare the 5 proposed electoral systems in a quantitative way, by allowing them to compute quickly, for a given polling scenario, the party seat distribution in Parliament under each system. It is written in Javascript and the source code is publicly available.

The authors intend to refine the model used in future depending on resources, and welcome constructive feedback. The simulator is a research tool that they hope will have some use for members of the public.

The simulator can be accessed here.

TITLE:           A Stochastic Elasticity Correction to the Black-Scholes Formula

SPEAKER:         Professor Jeong-Hoon Kim (Yonsei University, Korea)
TIME/DATE:      4pm, Monday, 11 July
VENUE:  Room 6115 (OGGB)

About the Speaker

Professor Kim is specialist in the mathematics of asset pricing, and is based in the Financial Mathematics Lab at Yonsei University. He is presently on sabbatical in Australasia, and will be visiting the CMSS until 17 July.   He is in room 6101 of the OGGB if you would like to drop by and say hello.  Professor Kim’s talk will discuss a generalisation of the Black-Scholes formula which introduces a type of stochastic volatility.  A more detailed abstract appears below.  Professor Kim has promised to emphasise the financial/economic logic behind the ideas, so the talk will be accessible to the less mathematically inclined!

******************************************************

Abstract:
We propose a CEV-type model where the elasticity takes a perturbative form in terms of a small and fast mean-reverting process. Based on this multiscale hybrid structure of the volatility of the underlying asset price, we study option pricing in such a way that the resultant option price has a desirable correction to the Black-Scholes formula. The correction effects are developed by asymptotic analysis based upon the Ornstein-Uhlenbeck diffusion that decorrelates rapidly while fluctuating on a fast time-scale. Our results show that the implied volatilities demonstrate a smile effect (right geometry), which overcomes the major drawback of the Black-Scholes model, and move to the right direction as the underlying asset price increases (right dynamics), which fits observed market behavior and removes the possible instability of hedging that local volatility models might cope with. We also show correction effects on the fitting of the implied volatility surface to the market data as well as on the reduction of the hedging cost.

==================================================
CALL FOR PARTICIPATION

3rd  Summer  Workshop, The Centre for Mathematical Social Science (CMSS) at The University of  Auckland, 20-21 February, 2012

==================================================

The Centre for Mathematical Social Science (CMSS) at The University of
Auckland (New Zealand) is planning to organize its 3rd  Summer
Workshop, which will take place 20-21 February 2012 in Auckland. The umbrella title for the workshop is: “Algorithmic and game-theoretic aspects of social choice”.  The confirmed speakers from overseas at this date are:

- Jerome Lang (Université Paris Dauphine)
- Toby Walsh  (University of NSW and NICTA)
- Piotr Faliszewski  (AGH Institute of Technology, Krakow)
- Edith Elkind (NTU, Singapore)

The formal presentations will be accompanied by research collaborations in small groups with participation from visitors and local researchers, including PhD
students. The proposed topics for these small group sessions are to be
discussed but will certainly include voting procedures and voting equilibria, manipulation of voting procedures, simple games and power indices.

The Centre is planning to provide financial support to seminar presenters but the exact amount of it will be known later, as it  depends on the outcome of several grant applications. New participants  are welcome. If you wish to participate please contact

Arkadii Slinko
Department of Mathematics
The University of Auckland,
Centre for Mathematics in Social Sciences
Seminar & Events Organizer
a.slinko@auckland.ac.nz

The programme co-chair Edith Elkind is a CMSS external affiliate and frequent visitor.

————-

WINE 2011, the 7th Workshop on Internet & Network Economics.

December 11-14, 2011, Singapore.

Over the past decade, there has been a growing interaction between
researchers in theoretical computer science, networking and security,
economics, mathematics, sociology, and management sciences devoted to
the analysis of problems arising from the Internet and the World Wide
Web. The Workshop on Internet & Network Economics (WINE) is an
interdisciplinary forum for the exchange of ideas and results arising
from these various fields. The seventh WINE will take place in
December, 2011 in Singapore.

All submissions will be peer-reviewed and evaluated on the basis of
the quality of their contribution, originality, soundness, and
significance. Industrial applications and position papers presenting
novel ideas, issues, challenges and directions are also welcome.
Submissions are invited in the following topics but not limited to:

* Algorithmic game theory
* Algorithmic mechanism design
* Auction algorithms and analysis
* Computational advertising
* Computational aspects of equilibria
* Computational social choice
* Convergence and learning in games
* Coalitions, coordination and collective action
* Economics aspects of security and privacy
* Economics aspects of distributed and network computing
* Information and attention economics
* Network games
* Price differentiation and price dynamics
* Social networks.

Submission Format

Authors are invited to submit extended abstracts presenting original
research on any of the research fields related to WINE’11. No
simultaneous submission to other publication outlets (either a
conference or a journal) is allowed.

An extended abstract submitted to WINE’11 should start with the title
of the paper, each author’s name, affiliation and e-mail address,
followed by a one-paragraph summary of the results to be presented.
This should then be followed by a technical exposition of the main
ideas and techniques used to achieve these results, including
motivation and a clear comparison with related work. The extended
abstract should not exceed 12 single-spaced pages (full papers) or 6
pages (short papers) using reasonable margins and at least 10-point
font (excluding references and title page). If the authors believe
that more details are essential to substantiate the claims of the
paper, they may include a clearly marked appendix (with no space
limit) that will be read at the discretion of the Program Committee.
It is strongly recommended that submissions adhere to the specified
format and length. Submissions that are clearly too long may be
rejected immediately. The proceedings of the conference will be
published by Springer-Verlag in the Lecture Notes in Computer Science
series, and will be available for distribution at the conference.
Submissions are strongly encouraged, though not required, to follow
the LNCS format.

Submission of Working Papers

To accommodate the publishing traditions of different fields, we allow
the authors to submit working papers that they intend to publish in
journals that do not accept papers previously published in conference
proceedings. These submissions will be reviewed together with the
regular submission using the same acceptance criteria, but only a
one-page abstract will appear in the proceedings with a URL that
points to the full paper and that will be reliable for at least two
years. Open access is preferred although the paper can be hosted by a
publisher who takes copyright and limits access, as long as there is a
link to the location. At the submission stage, such papers should be
formatted in the same way as the regular submissions (in particular,
they can be submitted as long or short papers), but the title page
should state clearly that the submission is a working paper.

Important Dates

* Submission deadline (regular papers): July 31, 2011.
* Submission deadline (short papers): August 7, 2011.
* Notification: September 15, 2011.
* Camera-ready copy is due on September 28, 2011.

For more information and submission instructions, see the conference homepage:

http://web.spms.ntu.edu.sg/~wine11/

Speaker:     Egor Ianovski
Affiliation: The University of Auckland
Title:       Logics of belief change
Date:        Thursday, 9 Jun 2011
Time:        4:00 pm
Location:    Room 6115, Owen Glenn Building

We are at war with Eurasia. We have always been at war with Eurasia. Eastasia is our ally. How then, should we respond to an announcement of war with Eastasia? Is it enough to drop the belief that Eastasia is our ally, or do we need to revise our entire belief set?

What if the next day we are led to believe that we are at war with Eurasia again? Can we revert to our prior belief set, or has the first announcement changed our beliefs forever? If I have a friend that heard the same announcements, what can I conclude about their beliefs? Did they change the same way as mine or if not, for what reasons? In this talk we examine two main trends in the logical treatment of belief change, with focus on problems that arise with iteration and a multi-agent setting.

Note an unusual day of the week! Everyone welcome!

Speaker:     Simona Fabrizi
Affiliation: Massey University (Albany)
Title:       Suggested retail prices with downstream competition
Date:        Tuesday, 24 May 2011
Time:        4:00 pm
Location:    Room 6115, Owen Glenn Building

We analyze a manufacturer’s choice whether to recommend retail prices (RRP) to horizontally differentiated downstream competing retailers or to use more traditional vertical price restraints, such as resale price maintenance (RPM), when consumers have reference-dependent preferences. If recommended prices are taken as a reference point, consumers can suffer from loss aversion when facing retail prices above this reference point, but also benefit from gain proneness when prices are set below this level. In equilibrium, retailers do not set prices above their recommended levels; manufacturers prefer RPM over RRP when retailers follow the recommendation strictly; but manufacturers prefer RRP over RPM when the recommendation is undercut by retailers (discounting occurs). Two types of conflicts with respect to consumers’ surplus potentially arise when manufacturers can choose between RRP and RPM. There are combinations of gain proneness and degrees of competition for which either (i) manufacturers choose traditional resale price maintenance (RPM) even though recommending prices would have been consumers’ surplus enhancing; or, vice versa (ii) manufacturers choose to recommend retail prices (RRP) despite it would have been consumers’ surplus enhancing not to do so.

This paper is written Jointly with Steffen Lippert (Massey University), Clemens Puppe (Karlsruhe University of Technology) and Stephanie Rosenkranz (Utrecht University)

Speaker:    Mark C. Wilson
Affiliation: The University of Auckland
Title:       Decisiveness, power, and value
Date:        Tuesday, 10 May, 2011
Time:        4:00 pm
Location:    Room 6115, Owen G. Glenn Building

The connection between individual contribution and collective value  has been studied in the framework of cooperative (coalitional) games with transferable utility, most famously in terms of the Shapley value which has led to a general theory of “values”. In the special case of simple games, the concept of (voting) power has been studied, most famously by Banzhaf, again leading to a substantial literature, with more controversy than in the TU game case. In each case, there is a collective notion which yields the individual one in a straightforward way, and which is less understood than the individual one. I will attempt to give a unified presentation of  all these ideas and their relationships, with the aim of shedding some light on some arguments over definitions of power and pointing the way to further research. This is a preliminary discussion of several possible papers in progress with Geoff Pritchard and Reyhaneh Reyhani. Audience contributions are encouraged.

Speaker: Matthew Ryan
Affiliation: The University of Auckland
Title: Path Independent Choice and the Ranking of Opportunity Sets
Date: Tuesday, 29 Mar 2011
Time: 4:00 pm
Location: Room 6115, Owen Glenn Building

An opportunity set is a non-empty subset of a given set X. A decision-maker, when confronted with an opportunity set, is allowed to choose one element from it.
We assume that the decision-maker has some reflexive and transitive ordering over opportunity sets. Such an ordering is called an “indirect utility ordering” if there
exists a weak order (preference relation) on X such that opportunity set A is weakly preferred to opportunity set B iff the most preferred element(s) from A∪B includes
at least one element of A. Necessary and sufficient conditions for an opportunity set ranking to be an indirect utility ordering are well-known (Kreps, 1979). We give
necessary and sufficient conditions for an ordering of opportunity sets to be consistent with a path independent choice function, or “Plott consistent”. That is, opportunity set A is weakly
preferred to opportunity set B iff the acceptable choice(s) from A∪B include at least one element of A. The proof employs results from the theory of abstract convex geometries.