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| 1982 - 1989 | Studies in mathematics and physics at the universities of Konstanz, Bonn, Paris VII (France) | | 1989 | Diploma in Mathematics, University of Bonn | | 1990 - 1991 | European Doctoral Program in Quantitative Economics, University of Bonn | | 1991 - 1995 | European Doctoral Program in Quantitative Economics, London School of Economics, England, UK | | 1994 - 1996 | Lecturer in Economics, London School of Economics, England, UK | | 1995 | PhD in Economics, London School of Economics, England, UK | | 1996 - 1999 | Assistant Professor of Economics, Graduate School of Business, Stanford University, CA, USA; promotion to untenured Associate Professor in 1999, on leave 1999 - 2001 | | 1999 - 2011 | Professor of Economics, LMU Munich | | Since 2011 | Hausdorff Chair for Mathematical Economics (W3), University of Bonn |
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My research is concerned with the dynamics of individual decisions and the resulting equilibrium processes when economic agents are uncertain about the environment in which they operate and can learn about it through experimentation. Particularly interesting dynamics arise from informational spillovers between the agents. Examples are research teams, R&D alliances between firms, or open source projects. Generalizing classic models of optimal sequential choice of experiments, I consider multiple agents who face identical two-armed bandit problems and observe each other’s actions and payoffs. While it is natural to use the posterior belief about these characteristics as the state variable for Markov perfect equilibria ([1], [2], [3], [7]), in current work I investigate the consequences of allowing for non-Markovian behavior.
While I will continue to investigate multi-agent bandit problems in my future work, I will put stronger emphasis on payoff externalities and market interactions. Building on [3], I intend to address more general correlation structures between the characteristics of the different agents’ risky projects. Using the methods developed in [4] and [6], I plan to study experimentation with restless bandits whose characteristics change stochastically over time, so that there is an incentive to learn even in the very long run. Further research into the dynamics of two-sided market platforms with cross-group externalities will build on [8]. More broadly, I plan to investigate information aggregation in large decentralized markets where information is dispersed and participants search and learn at the same time.
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DFG Collaborative Research Center SFB/TR 15 “Governance and the Efficiency of Economic Systems”
Project leader for two projects:
1. “Incomplete Markets, Market Interactions and Social Comparisons”, 2004 – 2011
2. “Strategic Acquisition and Transmission of Information”, 2008 - 2015
DFG Cluster of Excellence “Hausdorff Center for Mathematics”
Principal investigator and member of the Board of Directors
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Research Area I
The focus of my research in this area is on strategic experimentation, that is, the active production of information when there are informational spillovers between the agents. Examples are research teams, R&D alliances between firms, or open source projects. Generalizing classic models of optimal sequential choice of experiments, I consider multiple agents who face identical two-armed bandit problems in continuous time and observe each other’s actions and payoffs. One arm is safe in that it generates a known payoff per unit of time. The other arm is risky in that its payoffs are generated by a stochastic process whose characteristics are initially unknown. Using the common posterior belief about these characteristics as the natural state variable, [1] and [2] analyze Markov equilibria of an experimentation game where the type of the risky arm is the same for all players (perfect positive correlation). [3] solves a two-player game where this type is negatively correlated across players. Whether learning can be efficient in the long run turns out to depend crucially on this correlation structure. Earlier work ([4], [5], [6]) investigates Bayesian learning in dynamic pricing and trading problems with payoff externalities. |
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[ 1] Godfrey Keller, Sven Rady, Martin Cripps
Strategic experimentation with exponential bandits
Econometrica , 73: (1): 39--68
2005
DOI: 10.1111/j.1468-0262.2005.00564.x[ 2] Godfrey Keller, Sven Rady
Strategic experimentation with Poisson bandits
Theor. Econ. , 5: (2): 275--311
2010
DOI: 10.3982/TE595[ 3] Nicolas Klein, Sven Rady
Negatively correlated bandits
Rev. Econ. Stud. , 78: (2): 693--732
2011
DOI: 10.1093/restud/rdq025[ 4] Godfrey Keller, Sven Rady
Optimal experimentation in a changing environment
Rev. Econom. Stud. , 66: (3): 475--507
1999
DOI: 10.1111/1467-937X.00095[ 5] Harrison Hong, Sven Rady
Strategic Trading and Learning about Liquidity
Journal of Financial Markets , 5: (4): 419--450
2002[ 6] Godfrey Keller, Sven Rady
Price Dispersion and Learning in a Dynamic Differentiated-Goods Duopoly
RAND J. Econ. , 34: (1): 138--165
Publisher: JSTOR
2003[ 7] Godfrey Keller, Sven Rady
Breakdowns
Theor. Econ. , 10: (1): 175--202
2015
DOI: 10.3982/TE1670[ 8] Martin Peitz, Sven Rady, Piers Trepper
Experimentation in Two-Sided Markets
J. Eur. Econ. Ass. , 15: (1): 128--172
2017[ 9] François Ortalo-Magné, Sven Rady
Housing market dynamics: on the contribution of income shocks and credit constraints
Rev. Econom. Stud. , 73: (2): 459--485
2006
DOI: 10.1111/j.1467-937X.2006.383_1.x[ 10] Paul Heidhues, Sven Rady, Philipp Strack
Strategic experimentation with private payoffs
J. Econom. Theory , 159: (part A): 531--551
2015
DOI: 10.1016/j.jet.2015.07.017 |
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• Review of Economic Studies (Associate Editor, 2000 - 2007)
• Berkeley Electronic Journals in Theoretical Economics (Associate Editor, 2006 - 2010)
• Berkeley Electronic Journals in Theoretical Economics (Co-Editor, 2010 - 2013)
• Journal of Mathematical Economics (Co-Editor, since 2013)
• Mathematics of Operations Research (Associate Editor, since 2016)
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| 1983 - 1988 | Scholarship, Studienstiftung des Deutschen Volkes | | 1991 - 1992 | Grant for doctoral studies abroad, German Academic Exchange Service (DAAD) | | 1993 | Research Scholarship, COLONIA Scholarship Foundation (Germany) | | 1993 - 1994 | Graduate Fellowship, Economic and Social Research Council of the UK | | 1995 | Participant in the Review of Economic Studies May Meetings (Brussels-London-Toulouse) with paper “Optimal Experimentation in a Changing Environment” | | 2005 | Teaching Award of the State of Bavaria | | 2008 - 2010 | Research Professorship at the University of Munich under the auspices of GRK 801 (10/2008 - 03/2009) and LMUexcellent (04/2009 - 09/2010) |
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| 2012 | Minicourse “Strategic Experimentation”, Yonsei University, Seoul, South Korea | | 2016 | Minicourse “Strategic Experimentation”, University of Texas at Austin, USA |
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| 2002 | Goethe University Frankfurt | | 2005 | University of St. Gallen, Switzerland |
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Markus Reisinger (2004): “Three Essays on Oligopoly: Product Bundling, Two-Sided Markets, and Vertical Product Differentiation”,
now Professor, Frankfurt School of Finance & Management
Ferdinand von Siemens (2004): “Inequity Aversion and Incentives: Three Essays in Microeconomic Theory”,
now Professor, University of Frankfurt
Nicolas Klein (2010): “Learning and Experimentation in Strategic Bandit Problems”,
now Assistant Professor, University of Montreal, QC, Canada
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- Master theses: 11
- Diplom theses: 101
- PhD theses: 11
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