Related papers: Diversity and Arbitrage in a Regulatory Breakup Mo…
We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages:…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…
Given data on the choices made by consumers for different offer sets, a key challenge is to develop parsimonious models that describe and predict consumer choice behavior while being amenable to prescriptive tasks such as pricing and…
This paper outlines, and through stylized examples evaluates a novel and highly effective computational technique in quantitative finance. Empirical Risk Minimization (ERM) and neural networks are key to this approach. Powerful open source…
Agent-based models (ABMs) have shown promise for modelling various real world phenomena incompatible with traditional equilibrium analysis. However, a critical concern is the manual definition of behavioural rules in ABMs. Recent…
Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However the technical analysis is widely used by traders and…
Technological advancement has lead to an increase in number and type of trading venues and diversification of goods traded. These changes have re-emphasized the importance of understanding the effects of market competition: does…
Bipartite matching, where agents on one side of a market are matched to agents or items on the other, is a classical problem in computer science and economics, with widespread application in healthcare, education, advertising, and general…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
The measurement of progress using benchmarks evaluations is ubiquitous in computer science and machine learning. However, common approaches to analyzing and presenting the results of benchmark comparisons of multiple algorithms over…
We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a fixed holding period interval, we…
In this paper, we examine in an abstract framework, how a tradeoff between efficiency and robustness arises in different dynamic oligopolistic market architectures. We consider a market in which there is a monopolistic resource provider and…
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…
Emissions markets play a vital role in emissions reduction by incentivizing firms to minimize costs. However, their effectiveness heavily depends on the decisions of policymakers, future economic activity, and the availability of abatement…
The paper presents an analysis performed over the worldwide top 150 firms in the pharmaceutical industry. It begins with a test of the Gibrat's Law of Proportionate Effect finding, in line with previous literature, a violation concerning…
This paper establishes the existence of equilibrium in an economy with production and a continuum of consumers, each of whose incomplete and price-dependent preferences are defined on commodities they may consider deleterious, bads which…
We extend the model of Parenti (2018) on large and small firms by introducing cost heterogeneity among small firms. We propose a novel necessary and sufficient condition for the existence of such a mixed market structure. Furthermore, in…
Blockchains have popularized automated market makers (AMMs). An AMM exchange is an application running on a blockchain which maintains a pool of crypto-assets and automatically trades assets with users governed by some pricing function that…
We consider a simple model of rational agents competing in a single product market described by simple linear demand curve. Contrary to accepted economic theory, the agents' production levels synchronise in the absence of conscious…