Related papers: Markets are efficient if and only if P = NP
Marginalization -- summing a function over all assignments to a subset of its inputs -- is a fundamental computational problem with applications from probabilistic inference to formal verification. Despite its computational hardness in…
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study…
In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices. In this paper we show that, to the contrary, future intra-day stock prices could be…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
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…
We introduce a concept of efficiency for which we can prove that it applies to all paddable languages, but still does not conflict with potential worst case intractability. Note that the family of paddable languages apparently includes all…
How an investor invests in the market is largely influenced by the market efficiency because if a market is efficient, it is extremely difficult to make excessive returns because in an efficient market there will be no undervalued…
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients…
Uniswap -- and other constant product markets -- appear to work well in practice despite their simplicity. In this paper, we give a simple formal analysis of constant product markets and their generalizations, showing that, under some…
Unsatisfiable core analysis can boost the computation of optimum stable models for logic programs with weak constraints. However, current solvers employing unsatisfiable core analysis either run to completion, or provide no suboptimal…
Artificial intelligence algorithms are increasingly used by firms to set prices. Previous research shows that they can exhibit collusive behaviour, but how quickly they can do so has so far remained an open question. I show that a modern…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…
According to common understanding, in free completion of a private product, market and price, the two main factors in the competition that leads to economic efficiency, always exist together. This paper, however, points out the phenomenon…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
We present an empirical argument against the existence of single timeline backward time travel using the price behavior of prediction markets. If rational agents could travel backward in time, binary prediction contracts would converge to…
We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…
The relationship between the complexity classes P and NP is an unsolved question in the field of theoretical computer science. In this paper, we look at the link between the P - NP question and the "Deterministic" versus "Non Deterministic"…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
Polynomial processes have the property that expectations of polynomial functions (of degree $n$, say) of the future state of the process conditional on the current state are given by polynomials (of degree $\leq n$) of the current state.…
The main purpose of this paper is to study the NP-complete subset-sum problem, not in the usual context of time-complexity-based classification of the algorithms (exponential/polynomial), but through a new kind of algorithmic classification…