Related papers: A Computational View of Market Efficiency
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Some of the most relevant future applications of multi-agent systems like autonomous driving or factories as a service display mixed-motive scenarios, where agents might have conflicting goals. In these settings agents are likely to learn…
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…
During the past sixty years, a lot of effort has been made regarding the productive efficiency. Such endeavours provided an extensive bibliography on this subject, culminating in two main methods, named the Stochastic Frontier Analysis…
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…
We employ a 2x3 factorial experiment to study two central factors in the design of prediction markets (PMs) for idea evaluation: the overall design of the PM, and the elasticity of market prices set by a market maker. The results show that…
Individuals are often influenced by the behavior of others, for instance because they wish to obtain the benefits of coordinated actions or infer otherwise inaccessible information. In such situations this social influence decreases the ex…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
Exploration is critical to a reinforcement learning agent's performance in its given environment. Prior exploration methods are often based on using heuristic auxiliary predictions to guide policy behavior, lacking a mathematically-grounded…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…
Simulating the stochastic evolution of real quantities on a digital computer requires a trade-off between the precision to which these quantities are approximated, and the memory required to store them. The statistical accuracy of the…
The evaluation of the financial markets to predict their behaviour have been attempted using a number of approaches, to make smart and profitable investment decisions. Owing to the highly non-linear trends and inter-dependencies, it is…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…
The research identifies association rules that can inform marketing strategies and enhance operational efficiency. A structured methodology is applied to extract and interpret meaningful relationships within transactional data, emphasizing…
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading…
Motivated by the prevalence of prediction problems in the economy, we study markets in which firms sell models to a consumer to help improve their prediction. Firms decide whether to enter, choose models to train on their data, and set…
A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading…
The growing integration of renewable energy sources necessitates adequate reserve capacity to maintain power balance. However, in market clearing, power companies with flexible resources may submit strategic bids to maximize profits,…
The paper proposes a computationally efficient electricity market simulation tool (MST) suitable for future grid scenario analysis. The market model is based on a unit commitment (UC) problem and takes into account the uptake of emerging…