Related papers: Continuous-time trading and emergence of randomnes…
The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…
We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous payoffs. We show that the super--replication price is equal to…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define several notions of randomness associated with interval, rather than precise,…
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…
We introduce the notions of weakly *-concave and weakly naturally quasi-concave correspondence and prove fixed point theorems and continuous selection theorems for these kind of correspondences. As applications in the game theory, by using…
Two concepts of random stopping times in continuous time have been defined in the literature, mixed stopping times and randomized stopping times. We show that under weak conditions these two concepts are equivalent, and, in fact, that all…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
In this paper relations among some kinds of cumulative entropies and moments of order statistics are presented. By using some characterizations and the symmetry of a non negative and absolutely continuous random variable X, lower and upper…
This dissertation highlights connections between the fields of neural networks, game theory and time series generation. The concept of antipredictability is explained, and the properties of time series that are antipredictable for several…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…
Pursuit-Evasion Games (in discrete time) are stochastic games with nonnegative daily payoffs, with the final payoff being the cumulative sum of payoffs during the game. We show that such games admit a value even in the presence of…
We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are…
Can a probabilistic gambler get arbitrarily rich when all deterministic gamblers fail? We study this problem in the context of algorithmic randomness, introducing a new notion -- almost everywhere computable randomness. A binary sequence…
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume…
In this paper we study the continuum time dynamics of a stock in a market where agents behavior is modeled by a Minority Game and a Grand Canonical Minority Game. The dynamics derived is a generalized geometric Brownian motion; from the…
Many complex phenomena, from the selection of traits in biological systems to hierarchy formation in social and economic entities, show signs of competition and heterogeneous performance in the temporal evolution of their components, which…
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of…
Combinatorial Game Theory is a branch of mathematics and theoretical computer science that studies sequential 2-player games with perfect information. Normal play is the convention where a player who cannot move loses. Here, we generalize…