Cross-Validation Equilibrium (opens in new tab)

We study strategic interaction when players delegate belief formation to predictive machine learning (ML). In a static Bayesian game, each player's ML agent predicts a payoff-relevant outcome variable as a function of the player's type. The ML agent's training sample is endogenous: it is drawn from the outcome distribution generated by players' ML-guided behavior. In Cross-Validation Equilibrium (CVE), each player's ML agent selects a predictive...