Related papers: The Grounds For Time Dependent Market Potentials F…
We present a model for price dynamics in the Automated Market Makers (AMM) setting. Within this framework, we propose a reference market price following a geometric Brownian motion. The AMM price is constrained by upper and lower bounds,…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
We consider a dynamic pricing problem under unknown demand models. In this problem a seller offers prices to a stream of customers and observes either success or failure in each sale attempt. The underlying demand model is unknown to the…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
We explore the effects of social influence in a simple market model in which a large number of agents face a binary choice: 'to buy/not to buy' a single unit of a product at a price posted by a single seller (the monopoly case). We consider…
There is a consensus that human and non-human subjects experience temporal distortions in many stages of their perceptual and decision-making systems. Similarly, intertemporal choice research has shown that decision-makers undervalue future…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
We consider a novel pricing and advertising framework, where a seller not only sets product price but also designs flexible 'advertising schemes' to influence customers' valuation of the product. We impose no structural restriction on the…
Inferring a cause from its effect using observed time series data is a major challenge in natural and social sciences. Assuming the effect is generated by the cause trough a linear system, we propose a new approach based on the hypothesis…
In the over-the-counter market in derivatives, we sometimes see large numbers of traders taking the same position and risk. When there is this kind of concentration in the market, the position impacts the pricings of all other derivatives…
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models self-exciting behaviour of the price impact,…
We study misspecified Bayesian learning in principal-agent relationships, where an agent is assessed by an evaluator and rewarded by the market. The agent's outcome depends on their innate ability, costly effort -- whose effectiveness is…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
A combinatorial market consists of a set of indivisible items and a set of agents, where each agent has a valuation function that specifies for each subset of items its value for the given agent. From an optimization point of view, the goal…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…