Working Papers by Benjamin J. Gillen
# | Title | Authors | Date | Length | Paper | Abstract | |
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1447 | General Equilibrium Methodology Applied to the Design, Implementation and Performance Evaluation of Large, Multi-Market and Multi-Unit Policy Constrained Auctions | Plott, Charles R. Cason, Timothy N. Gillen, Benjamin J. Lee, Hsing Yang Maron, Travis | 01/13/2022 | 62 | sswp1447_revJAN2022.pdf | The paper reports on the methodology, design and outcome of a large auction with multiple, interdependent markets constructed from principles of general equilibrium as opposed to game theoretic auction theory. It distributed 18,788 entitlements to operate electronic gaming machines in 176 interconnected markets to 363 potential buyers representing gaming establishments subject to multiple policy constraints on the allocation. The multi-round auction, conducted in one day, produced over $600M in revenue. All policy constraints were satisfied. Revealed dynamics of interim allocations and new statistical tests provide evidence of multiple market convergence hypothesized by classical theories of general equilibrium. Results support the use of computer supported, "tâtonnement–like" market adjustments as a reliable empirical processes and not as purely theoretical constructs. | |
1421 | Subset Optimization for Asset Allocation | Gillen, Benjamin J. | 06/02/2016 | 72 | SSWP_1421.pdf | Subset optimization provides a new algorithm for asset allocation that's particularly useful in settings with many securities and short return histories. Rather than optimizing weights for all N securities jointly, subset optimization constructs Complete Subset Portfolios (CSPs) that naıvely aggregate many "Subset Portfolios," each optimizing weights over a subset of only Nˆ randomly selected securities. With known means and variances, the complete subset efficient frontier for different subset sizes characterizes CSPs' utility loss due to satisficing, which generally decreases with Nˆ . In finite samples, the bound on CSPs' expected out-of-sample performance loss due to sampling error generally increases with Nˆ. By balancing this tradeoff, CSPs' expected out-of-sample performance dominates both the 1/N rule and sample-based optimization. Simulation and backtest experiments illustrate CSPs' robust performance against existing asset allocation strategies. | |
1412 | Two Information Aggregation Mechanisms for Predicting the Opening Weekend Box Office Revenues of Films: Box Office Prophecy and Guess of Guesses | Court, David Gillen, Benjamin J. McKenzie, Jordi Plott, Charles R. | 02/22/2016 | 52 | SSWP_1412_2017.pdf | Field tests were conducted on two new Information Aggregation Mechanism (IAM) designs. The mechanisms were designed to collect information held as intuitions about opening weekend box office revenues for movies in Australia. The principles on which the mechanisms operate and their capacity to collect information are explored. A pari-mutuel mechanism produces a predicted probability distribution over box office amounts that is, with the exception of very small films, indistinguishable from the actual revenues. The second mechanism is based on guessing the guesses of others and, applied under conditions incentives for accuracy are unavailable, still performs well against data. | |
1367 | A Parimutuel-like Mechanism from Information Aggregation: A Field Test Inside Intel | Gillen, Benjamin J. Plott, Charles R. Shum, Matthew | 01/03/2013 | 43 | SSWP1367.pdf | Field tests of a new Information Aggregation Mechanism (IAM) developed via laboratory experimental methods were implemented inside Intel Corporation for sales forecasting. The IAM, which incorporates selected features of parimutuel betting, is uniquely designed to collect and quantize as probability distributions any dispersed, subjectively held information that might exist. The tests demonstrate the robustness of experimental results and the practical usefulness of the IAM. The IAM yields predicted distributions of future sales that are very accurate at short horizons; indeed, more accurate than Intel's official in-house forecast 59% of the time. A symmetric game model suggests why the IAM works. | |
1239 | Divergence and Convergence in Scarf Cycle Environments: Experiments and Predictability in the Dynamics of General Equilibrium Systems | Gillen, Benjamin J. Hirota, Masayoshi Hsu, Ming Plott, Charles R. Rogers, Brian W. | 10/01/2005 | 57 pages | sswp_1239_-_revised_v.2.pdf | Previous experimental work demonstrates the power of classical theories of economic dynamics to accurately characterize equilibration in multiple market systems. Building on the literature, this study examines the behavior of experimental continuous double auction markets in convergence-challenging environments identified by Scarf (1960) and Hirota (1981). The experiments provide insight into two important economic questions: (a) do markets necessarily converge to a unique interior equilibrium? and (b) which model, among a set of classical specifications, most accurately characterizes observed price dynamics? We observe excess demand driven prices spiraling outwardly away from the interior equilibrium prices as predicted by the theory of disequilibrium price dynamics. We estimate a structural model establishing that partial equilibrium dynamics characterize price changes even in an unstable general equilibrium environment. We observe linkages between excess demand in one market and price changes in another market but the sign of expected price change in a market does not depend on the magnitude of excess demand in other markets unless disequilibrium is severe. Original working paper published October 2005. |