AI RESEARCH
Bilateral Trade Under Heavy-Tailed Valuations: Minimax Regret with Infinite Variance
arXiv CS.LG
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ArXi:2603.06851v1 Announce Type: cross We study contextual bilateral trade under full feedback when trader valuations have bounded density but infinite variance. We first extend the self-bounding property of Bachoc (ICML 2025) from bounded to real-valued valuations, showing that the expected regret of any price $\pi$ satisfies $\mathbb{E}[g(m,V,W) - g(\pi,V,W)] \le L|m-\pi|^2$ under bounded density alone.