Correcting Finite Sample Biases in Conventional Estimates of Power Variation and Jumps(2009-04). In many current financial time-series models, especially jump detection tests, researchers use estimators such as bi-power variation, tri-power quarticity, or quad-power quarticity. It turns out that in the presence of the daily U-shaped pattern in volatility (higher volatility in the beginning and end of trading day), these estimators estimators are significantly downward bias under finite interval sampling. This distorts the statistics of various jump testss. This paper seeks to design estimators that correct for this bias, and in the process bias-adjusting currently used jump tests.
A simple result relating socially concave games to Rosen's convergence condition(2009-03). In [Even-dal et. al. '09], they show that for a class of games called "socially concave games," when players use no-regret policies, their average strategies converge to a epsilon-Nash equilibrium. Our simple result shows that in strict socially concave games, under no-regret policies, the strategies themselves converge to a Nash-equilibrium, using a condition due to Rosen ([Rosen '65]). Hence, in this subclass of socially concave games, we show a stronger result. I also wrote a summary of what is known and not known in this topic.
MegaTorrent: An Incentive-Based Solution to Freeriding in P2P File-Sharing Networks(2008-04) (with Kshipra Bhawalkar). A paper about using a Pagerank-like reputation system to make P2P file sharing systems incentive compatible (encourage contribution instead of free-riding). Currently BitTorrent's "optimistic unchoking" allows users to download without uploading. We tackle this by making agents' download speed dependent on their "Eigenscore," which they can only improve by helping other reputable users download.
