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We consider a one-period market model composed by a risk-free asset and a risky asset with $n$ possible future values (namely, a $n$-nomial market model). We characterize the lower envelope of the class of equivalent martingale measures in…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
We consider the problem of reducing the carbon emissions of a set of firms over a finite horizon. A regulator dynamically allocates emission allowances to each firm. Firms face idiosyncratic as well as common economic shocks on emissions,…
The development of Machine Learning is experiencing growing interest from the general public, and in recent years there have been numerous press articles questioning its objectivity: racism, sexism, \dots Driven by the growing attention of…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is…
Resource distribution is a fundamental problem in economic and policy design, particularly when demand and supply are not naturally aligned. Without regulation, wealthier individuals may monopolize this resource, leaving the needs of others…
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
As the role of variable renewables in electricity markets expands, new market products help system operators manage imbalances caused by uncertainty and variability. Whereas work in the last decade has focused on constructing demand curves…
This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The…
In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic…
We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existence of long-term exposures that cannot be explained by a…
Considerable interest has recently been focused on studying multiple phenotypes simultaneously in both epidemiological and genomic studies, either to capture the multidimensionality of complex disorders or to understand shared etiology of…
Agent-based models (ABMs) are fit to model heterogeneous, interacting systems like financial markets. We present the latest advances in Evology: a heterogeneous, empirically calibrated market ecology agent-based model of the US stock…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
Machine learning (ML) is increasingly used in high-stakes settings, yet multiplicity - the existence of multiple good models - means that some predictions are essentially arbitrary. ML researchers and philosophers posit that multiplicity…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…
This paper examines the effect of ownership concentration on product position, product variety and readership in markets for daily newspapers. US antitrust policy presumes that mergers reduce the amount and diversity of content available to…
We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been…