Related papers: Markets are efficient if and only if P = NP
One of my recent papers transforms an NP-Complete problem into the question of whether or not a feasible real solution exists to some Linear Program. The unique feature of this Linear Program is that though there is no explicit bound on the…
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules…
This paper focuses on managing the cost of deliberation before action. In many problems, the overall quality of the solution reflects costs incurred and resources consumed in deliberation as well as the cost and benefit of execution, when…
We consider a class of optimization problems that involve determining the maximum value that a function in a particular class can attain subject to a collection of difference constraints. We show that a particular linear programming…
This paper considers the question of P = NP in context of the polynomial time SAT algorithm. It posits proposition dependent on existence of conjectured problem that even where the algorithm is shown to solve SAT in polynomial time it…
As is well known, many classes of markets have efficient equilibria, but this depends on agents being non-strategic, i.e. that they declare their true demands when offered goods at particular prices, or in other words, that they are…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Identifying the trade-offs between model-based and model-free methods is a central question in reinforcement learning. Value-based methods offer substantial computational advantages and are sometimes just as statistically efficient as…
This note provides a simple example demonstrating that, if exact computations are allowed, the number of iterations required for the value iteration algorithm to find an optimal policy for discounted dynamic programming problems may grow…
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…
In this paper, we show that the derivability problem for the primal propositional logic remains solvable in polynomial time upon adding a certain form of the principle of equivalent form substitution; and that, upon adding another form of…
The efficient market hypothesis considers all available information already reflected in asset prices and limits the possibility of consistently achieving above-average returns by trading on publicly available data. We analyzed low…
The relation between the requirement of efficient implementability and the product state representation of numbers is examined. Numbers are defined to be any model of the axioms of number theory or arithmetic. Efficient implementability…
In this article, we discuss the question of whether P equals NP, we do not follow the line of research of many researchers, which is to try to find such a problem Q, and the problem Q belongs to the class of NP-complete, if the problem Q is…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…
The problem of verifying multi-threaded execution against the memory consistency model of a processor is known to be an NP hard problem. However polynomial time algorithms exist that detect almost all failures in such execution. These are…
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the…