Related papers: Continuous-time trading and emergence of randomnes…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options on that asset. We show that the space of outcomes of such…
Uncertainty, characterised by randomness and stochasticity, is ubiquitous in applications of evolutionary game theory across various fields, including biology, economics and social sciences. The uncertainty may arise from various sources…
We introduce a formalism modelling communication of distributed agents strictly in continuous-time. Within this framework, we study the problem of synthesising local strategies for individual agents such that a specified set of goal states…
Usually gradual and continuous changes in entities will lead to appear events. But usually it is supposed that an event is occurred at once. In this research an integrated framework called continuous occurrence theory (COT) is presented to…
Prices of commodities or assets produce what is called time-series. Different kinds of financial time-series have been recorded and studied for decades. Nowadays, all transactions on a financial market are recorded, leading to a huge amount…
We find conditions which guarantee moment (in)determinacy of powers and products of nonnegative random variables. We establish new and general results which are based either on the rate of growth of the moments of a random variable or on…
The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
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…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
Efficient computability is an important property of solution concepts in matching markets. We consider the computational complexity of finding and verifying various solution concepts in trading networks-multi-sided matching markets with…
Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes.…
This article examines the subtle relationship between chaos and randomness, two concepts that, although they refer to seemingly unpredictable phenomenon, are based on fundamentally different principles. Chaos manifests in deterministic…
Evolutionary game theory is a powerful mathematical framework to study how intelligent individuals adjust their strategies in collective interactions. It has been widely believed that it is impossible to unilaterally control players'…
We reason about possible future development of quantum game theory and its impact on information processing and the emerging information society. Two of the authors have recently proposed a quantum description of financial market in terms…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a…
Experimental results on market behavior establish a lower stability and efficiency of markets for durable re-tradable assets compared to markets for non-durable, or perishable, goods. In this chapter, we revisit this known but…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…