Related papers: Continuous-time trading and emergence of randomnes…

We present a simple model of Texas hold'em poker tournaments which retains the two main aspects of the game: i. the minimal bet grows exponentially with time; ii. players have a finite probability to bet all their money. The distribution of…

We investigate the dynamics of a trust game on a mixed population where individuals with the role of buyers are forced to play against a predetermined number of sellers, whom they choose dynamically. Agents with the role of sellers are also…

The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…

In two-player games on graphs, the players move a token through a graph to produce an infinite path, which determines the winner of the game. Such games are central in formal methods since they model the interaction between a…

We consider a large community of individuals who mix strongly and meet in pairs to bet on a coin toss. We investigate the asset distribution of the players involved in this zero-sum repeated game. Our main result is that the asset…

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.

We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible…

Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…

In a two-player zero-sum graph game the players move a token throughout a graph to produce an infinite path, which determines the winner or payoff of the game. Traditionally, the players alternate turns in moving the token. In {\em bidding…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems…

We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stochastic differential game with complete information, where…

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…

Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the…

A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…

Why is ``worthless'' fiat money generally accepted as payment for goods and services? In equilibrium theory, the value of money is generally not determined: the number of equations is one less than the number of unknowns, so only relative…