Related papers: Markets are efficient if and only if P = NP
We address the problem of testing weak optimality of a given solution of a given interval linear program. The problem was recently wrongly stated to be polynomially solvable. We disprove it. We show that the problem is NP-hard in general.…
We study the computational complexity of "public goods games on networks". In this model, each vertex in a graph is an agent that needs to take a binary decision of whether to "produce a good" or not. Each agent's utility depends on the…
We survey and unify recent results on the existence of accurate algorithms for evaluating multivariate polynomials, and more generally for accurate numerical linear algebra with structured matrices. By "accurate" we mean that the computed…
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…
The reliable fraction of information is an attractive score for quantifying (functional) dependencies in high-dimensional data. In this paper, we systematically explore the algorithmic implications of using this measure for optimization. We…
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…
We propose a simple model that describes the dynamics of efficiencies of competing agents. Agents communicate leading to increase of efficiencies of underachievers, and an efficiency of each agent can increase or decrease irrespectively of…
We examine possibility to design an efficient solving algorithm for problems of the class \np. It is introduced a classification of \np problems by the property that a partial solution of size $k$ can be extended into a partial solution of…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
We develop a complexity theory for approximate real computations. We first produce a theory for exact computations but with condition numbers. The input size depends on a condition number, which is not assumed known by the machine. The…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
State minimization of combinatorial filters is a fundamental problem that arises, for example, in building cheap, resource-efficient robots. But exact minimization is known to be NP-hard. This paper conducts a more nuanced analysis of this…
We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at discrete times. We analyze in detail a binomial model whose…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
In many realistic problems of allocating resources, economy efficiency must be taken into consideration together with social equality, and price rigidities are often made according to some economic and social needs. We study the…
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low…
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.…
Advancements in mathematical programming have made it possible to efficiently tackle large-scale real-world problems that were deemed intractable just a few decades ago. However, provably optimal solutions may not be accepted due to the…
We seek to deepen understanding of the micro-foundations of institutionalization while contributing to a sociological theory of markets by investigating the puzzle of price bubbles in financial markets. We find that such markets, despite…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…