Related papers: Markets are efficient if and only if P = NP
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the…
We show that the existence of a computationally efficient calibration algorithm, with a low weak calibration rate, would imply the existence of an efficient algorithm for computing approximate Nash equilibria - thus implying the unlikely…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
We show that for several variations of partially observable Markov decision processes, polynomial-time algorithms for finding control policies are unlikely to or simply don't have guarantees of finding policies within a constant factor or a…
We study the warehouse problem, arising in the area of inventory management and production planning. Here, a merchant wants to decide an optimal trading policy that computes quantities of a single commodity to purchase, store and sell…
An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of…
We consider in a market model the cooperative emergence of value due to a positive feedback between perception of needs and demand. Here we consider also a negative feedback from production of the traded products, and find that this…
The question of whether all problems in NP class are also in P class is generally considered one of the most important open questions in mathematics and theoretical computer science as it has far-reaching consequences to other problems in…
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…
Consider the problem of allocating goods to buyers through an auction. An auction is efficient if the resulting allocation maximizes total welfare, conditional on the information available. If buyers have private values, the…
Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…
A central question in computer science and statistics is whether efficient algorithms can achieve the information-theoretic limits of statistical problems. Many computational-statistical tradeoffs have been shown under average-case…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
In order to prove that the P of problems is different to the NP class, we consider the satisfability problem of propositional calculus formulae, which is an NP-complete problem. It is shown that, for every search algorithm A, there is a set…
Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…
In this paper, we propose a minimal model beyond geometric Brownian motion that aims to describe price actions with market inefficiency. From simple financial theory considerations, we arrive at a simple two-variable hidden Markovian time…
The complexity class NP of decision problems that can be solved nondeterministically in polynomial time is of great theoretical and practical importance where the notion of polynomial-time reductions between NP-problems is a key concept for…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…