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The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…
This paper reports a modified axiomatic foundation of the analytic hierarchy process (AHP), where the reciprocal property of paired comparisons is broken. The novel concept of reciprocal symmetry breaking is proposed to characterize the…
This study examines portfolio selection using predictive models for portfolio returns. Portfolio selection is a fundamental task in finance, and a variety of methods have been developed to achieve this goal. For instance, the mean-variance…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. We study rate of convergence of recursive estimation procedures for the general…
This text investigates relations between two well-known family of algorithms, matrix factorisations and recursive linear filters, by describing a probabilistic model in which approximate inference corresponds to a matrix factorisation…
Heuristic Rating Estimation (HRE) is a newly proposed method supporting decisions analysis based on the use of pairwise comparisons. It allows that the ranking values of some alternatives (herein referred to as concepts) are initially…
This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of possible scenarios. We explain the…
We develop a general framework for incorporating distributional preferences in market design. We identify the structural properties of these preferences that guarantee the path independence of choice rules. In decentralized settings, a…
We establish existence of Predictable Forward Performance Processes (PFPPs) in complete markets, which has been previously shown only in the binomial setting. Our market model can be a discrete-time or a continuous-time model, and the…
We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint distribution of the multiple variables (the measured signal)…
Probabilistic forecasting of time series is an important matter in many applications and research fields. In order to draw conclusions from a probabilistic forecast, we must ensure that the model class used to approximate the true…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
Computing market equilibria is an important practical problem for market design, for example in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every…
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment. Each agent trades a distinct stock following a binomial…
We introduce a method for policy improvement that interpolates between the greedy approach of value-based reinforcement learning (RL) and the full planning approach typical of model-based RL. The new method builds on the concept of a…
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax…
Almost twenty years ago, E.R. Fernholz introduced portfolio generating functions which can be used to construct a variety of portfolios, solely in the terms of the individual companies' market weights. I. Karatzas and J. Ruf recently…
Geometrical modelling generally provides the geometrical description of a special structure and a set of services to "navigate" through its structure. HEP geometrical modellers are designed to handle high complexity detector geometries and…
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…