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New research details minimax regret for bilateral trade with infinite variance

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A new research paper published on arXiv introduces a novel algorithm for bilateral trade under heavy-tailed valuations, specifically addressing scenarios where trader valuations exhibit infinite variance. The proposed method extends existing self-bounding properties and utilizes truncated-mean estimation to achieve a regret rate that interpolates between classical nonparametric rates and linear rates. This work provides an exact minimax rate characterization for this complex trading problem. AI

RANK_REASON The item is a research paper published on arXiv detailing a new algorithm and theoretical results. [lever_c_demoted from research: ic=1 ai=0.4]

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New research details minimax regret for bilateral trade with infinite variance

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The item is a research paper published on arXiv detailing a new algorithm and theoretical results. [lever_c_demoted from research: ic=1 ai=0.4]
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COVERAGE [1]

  1. arXiv stat.ML TIER_1 English(EN) · Hangyi Zhao ·

    Bilateral Trade Under Heavy-Tailed Valuations: Minimax Regret with Infinite Variance

    arXiv:2603.06851v2 Announce Type: replace Abstract: We study contextual bilateral trade under full feedback when, conditionally on the context, trader valuations have bounded density but infinite variance. We first extend the self-bounding property of Bachoc et al. (ICML 2025) fr…

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