Related papers: Projective Market Model Approach to AHP Decision-M…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
Detecting sets of relevant patterns from a given dataset is an important challenge in data mining. The relevance of a pattern, also called utility in the literature, is a subjective measure and can be actually assessed from very different…
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the…
In this work a relation between a measure of short-term arbitrage in the market and the excess growth of portfolios as a notion of long-term arbitrage is established. The former originates from "Geometric Arbitrage Theory" and the latter…
Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…
Multivalued projections are applied to the study of weighted least squares solutions of linear relations equations (or inclusions) and some of its applications. To this end a matrix representation of multivalued projections with respect to…
Any set of $\sigma$-Hermitian matrices of size $n \times n$ over a field with involution $\sigma$ gives rise to a projective line in the sense of ring geometry and a projective space in the sense of matrix geometry. It is shown that the two…
Process maps provide a high-level overview of an organisation's business processes. While used for many years in different shapes and forms, there is little shared understanding of the concept and its relationship to enterprise…
This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…
Decision markets are mechanisms for selecting one among a set of actions based on forecasts about their consequences. Decision markets that are based on scoring rules have been proven to offer incentive compatibility analogous to properly…
By recasting metrical geometry in a purely algebraic setting, both Euclidean and non-Euclidean geometries can be studied over a general field with an arbitrary quadratic form. Both an affine and a projective version of this new theory are…
In algorithmic markets, predictive models become part of the data-generating process they aim to forecast. Once their outputs are converted into trades, allocations, execution schedules, or risk controls, they change the future data on…
We introduce an informative probabilistic association matrix to measure a proportional local-to-global association of categories of one variable with another categorical variable. Towards a probability based proportional prediction, the…
A prediction market is a useful means of aggregating information about a future event. To function, the market needs a trusted entity who will verify the true outcome in the end. Motivated by the recent introduction of decentralized…
We propose and experimentally demonstrate an innovative stock index prediction method using a weighted optical reservoir computing system. We construct fundamental market data combined with macroeconomic data and technical indicators to…
Classical asset pricing relies on the risk-neutral measure $Q$ for valuation, yet its economic interpretation is typically anchored in a physical measure $P$. This creates an inherent asymmetry: pricing is governed by $Q$, while meaning…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
The theory of matrix models is reviewed from the point of view of its relation to integrable hierarchies. Determinantal formulas, relation to conformal field models and the theory of Generalized Kontsevich model are discussed in some…
We propose a dynamic model of a prediction market in which agents predict the values of a sequence of random vectors. The main result shows that if there are agents who make correct (or asymptotically correct) next-period forecasts, then…