Related papers: Markets are efficient if and only if P = NP
The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion stock market models. It is known that the market completeness is not a robust property: small random…
This paper provides a new and more direct proof of the assertion that a Turing computable function of the natural numbers is primitive recursive if and only if the time complexity of the corresponding Turing machine is bounded by a…
We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware,…
The computational complexity of the partition, 0-1 subset sum, unbounded subset sum, 0-1 knapsack and unbounded knapsack problems and their multiple variants were studied in numerous papers in the past where all the weights and profits were…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
Bipartite b-matching, where agents on one side of a market are matched to one or more agents or items on the other, is a classical model that is used in myriad application areas such as healthcare, advertising, education, and general…
A well-studied nonlinear extension of the minimum-cost flow problem is to minimize the objective $\sum_{ij\in E} C_{ij}(f_{ij})$ over feasible flows $f$, where on every arc $ij$ of the network, $C_{ij}$ is a convex function. We give a…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
We convert, within polynomial-time and sequential processing, an NP-Complete Problem into a real-variable problem of minimizing a sum of Rational Linear Functions constrained by an Asymptotic-Linear-Program. The coefficients and constants…
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…
We study Fisher markets that admit equilibria wherein each good is integrally assigned to some agent. While strong existence and computational guarantees are known for equilibria of Fisher markets with additive valuations, such equilibria,…
Efficiency is a core concept of multi-objective optimization problems and multi-attribute decision making. In the case of pairwise comparison matrices a weight vector is called efficient if the approximations of the elements of the pairwise…
We study the bilateral trade problem: one seller, one buyer and a single, indivisible item for sale. It is well known that there is no fully-efficient and incentive compatible mechanism for this problem that maintains a balanced budget. We…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
Message-passing (MP) is a powerful tool for finding an approximate solution in optimization. We generalize it to nonlinear product-sum form, and numerically show the fast convergence for the minimum feedback vertex set and the minimum…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
Despite the success of neural networks (NNs), there is still a concern among many over their "black box" nature. Why do they work? Here we present a simple analytic argument that NNs are in fact essentially polynomial regression models.…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…