Related papers: Projective Market Model Approach to AHP Decision-M…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid interest rate derivatives, and fits potential…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
This paper provides an introduction to structural estimation methods for matching markets with transferable utility.
One of the most widespread multi-criteria decision-making methods is the Analytic Hierarchy Process (AHP). AHP successfully combines the pairwise comparisons method and the hierarchical approach. It allows the decision-maker to set…
Stochastic portfolio theory aims at finding relative arbitrages, i.e. trading strategies which outperform the market with probability one. Functionally generated portfolios, which are deterministic functions of the market weights, are an…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
Online portfolio selection is an integral componentof wealth management. The fundamental undertaking is tomaximise returns while minimising risk given investor con-straints. We aim to examine and improve modern strategiesto generate higher…
Domain-general model-based planners often derive their generality by constructing search heuristics through the relaxation or abstraction of symbolic world models. We illustrate how abstract interpretation can serve as a unifying framework…
Markov decision processes are a ubiquitous formalism for modelling systems with non-deterministic and probabilistic behavior. Verification of these models is subject to the famous state space explosion problem. We alleviate this problem by…
The Heuristic Ratio Estimation (HRE) approach proposes a new way of using the pairwise comparisons matrix. It allows the assumption that the weights of some alternatives (herein referred to as concepts) are known and fixed, hence the weight…
We use path integrals to calculate hedge parameters and efficacy of hedging in a quantum field theory generalization of the Heath, Jarrow and Morton (HJM) term structure model which parsimoniously describes the evolution of imperfectly…
We consider the consumption-based asset pricing model, derive a new modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor's utility during the averaging time interval.…
The AHP/ANP are multicriteria decision-making theories that deal with both hierarchic structures when the criteria are independent of the alternatives and with networks when there is any dependence within and between elements of the…
Prediction markets are well-studied in the case where predictions are probabilities or expectations of future random variables. In 2008, Lambert, et al. proposed a generalization, which we call "scoring rule markets" (SRMs), in which…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
Prediction markets are used in real life to predict outcomes of interest such as presidential elections. This paper presents a mathematical theory of artificial prediction markets for supervised learning of conditional probability…
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numeraire process and…
In this article we discuss the application of the Heath-Jarrow-Morton framework Heath et al. [26] to energy markets. The goal of the article is to give a detailed overview of the topic, focusing on practical aspects rather than on theory,…
We determine rates of convergence of rank-based interacting diffusions and semimartingale reflecting Brownian motions to equilibrium. Convergence rate for the total variation metric is derived using Lyapunov functions. Sharp fluctuations of…