Related papers: Markets are efficient if and only if P = NP
A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is…
The efficiency of the stock market has a significant impact on the potential return on investment. An efficient market eliminates the possibility of arbitrage and unexploited profit opportunities. This study analyzes the weak form…
We propose to classify the power of algorithms by the complexity of the problems that they can be used to solve. Instead of restricting to the problem a particular algorithm was designed to solve explicitly, however, we include problems…
We study the computational complexity of fundamental problems over the $p$-adic numbers ${\mathbb Q}_p$ and the $p$-adic integers ${\mathbb Z}_p$. Gu\'epin, Haase, and Worrell proved that checking satisfiability of systems of linear…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a large enough market share to influence prices with their…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…
We study games with incomplete information and characterize when a feasible outcome is Pareto efficient. Outcomes with excessive randomization are inefficient: generically, the total number of action profiles across states must be strictly…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
The \textsc{Housing Market} problem is a widely studied resource allocation problem. In this problem, each agent can only receive a single object and has preferences over all objects. Starting from an initial endowment, we want to reach a…
We study here several variants of the covariates fine balance problem where we generalize some of these problems and introduce a number of others. We present here a comprehensive complexity study of the covariates problems providing…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
In this paper, we present a new methodology to evaluate whether a business process model is fully compliant with a regulatory framework composed of a set of conditional obligations. The methodology is based failure delta-constraints that…
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…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…
In a previous paper, we have shown that any Boolean formula can be encoded as a linear programming problem in the framework of Bayesian probability theory. When applied to NP-complete algorithms, this leads to the fundamental conclusion…
We present different versions of a conjecture which would express that first price mechanisms never work very badly in a very general class of problems. The definitions include most of the problems where there is a principal (seller) who…
We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance and interpretability. Under the mean-variance efficient…