Related papers: Projective Market Model Approach to AHP Decision-M…
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…
Prediction markets are powerful mechanisms for information aggregation, but existing designs are optimized for single-event contracts. In practice, traders frequently express beliefs about joint outcomes - through parlays in sports,…
We give an algebraic definition of a Markowitz market and classify markets up to isomorphism. Given this classification, the theory of portfolio optimization in Markowitz markets without short selling constraints becomes trivial.…
In this work, we propose an approach to generalize denoising diffusion probabilistic models for stock market predictions and portfolio management. Present works have demonstrated the efficacy of modeling interstock relations for market…
Market-based agents refer to reinforcement learning agents which determine their actions based on an internal market of sub-agents. We introduce a new type of market-based algorithm where the state itself is factored into several axes…
Partially observable Markov decision processes (POMDPs) provide an elegant mathematical framework for modeling complex decision and planning problems in stochastic domains in which states of the system are observable only indirectly, via a…
We consider the asymmetric random average process which is a one-dimensional stochastic lattice model with nearest neighbour interaction but continuous and unbounded state variables. First, the explicit functional representations, so-called…
Market area models, such as the Huff model and its extensions, are widely used to estimate regional market shares and customer flows of retail and service locations. Another, now very common, area of application is the analysis of catchment…
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…
Designing automated market makers (AMMs) for prediction markets on combinatorial securities over large outcome spaces poses significant computational challenges. Prior research has primarily focused on combinatorial prediction markets…
In this paper, we establish a general setup for studying incidence-preserving motions of projective geometric configurations of points and lines via a "projective rigidity matrix". The spaces of infinitesimal motions of a point-line…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
In this paper, we consider an infinite horizon average reward Markov Decision Process (MDP). Distinguishing itself from existing works within this context, our approach harnesses the power of the general policy gradient-based algorithm,…
This paper deals with projective shape analysis, which is a study of finite configurations of points modulo projective transformations. The topic has various applications in machine vision. We introduce a convenient projective shape space,…
Stock market prediction is the act of trying to determine the future value of a company stock or other financial instrument traded on a financial exchange.
This paper describes a numerical method to solve for mean product qualities which equates the real market share to the market share predicted by a discrete choice model. The method covers a general class of discrete choice model, including…
The concept of abstraction has been independently developed both in the context of AI Planning and discounted Markov Decision Processes (MDPs). However, the way abstractions are built and used in the context of Planning and MDPs is…
Prediction markets rely on liquidity to convert trades into informative prices, yet existing mechanisms fix liquidity ex ante. This restriction enforces a static trade-off between price responsiveness and worst-case loss despite inherently…
Probabilistic behavior is omnipresent in computer controlled systems, in particular, so-called safety-critical hybrid systems, because of various reasons, like uncertain environments, or fundamental properties of nature. In this paper, we…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…