Related papers: Sequences of Arbitrages
Game-theoretical approach to the analysis of parallel algorithms is proposed. The approach is based on presentation of the parallel computing as a congestion game. In the game processes compete for resources such as core of a central…
In this paper we focus on concurrent processes built on synchronization by means of futures. This concept is an abstraction for processes based on a main execution thread but allowing to delay some computations. The structure of a general…
We study Smarandache sequences of numbers, and related problems, via a Computer Algebra System. Solutions are discovered, and some conjectures presented.
This is a proposal of an algebra which aims at distributed array processing. The focus lies on re-arranging and distributing array data, which may be multi-dimensional. The context of the work is scientific processing; thus, the core…
A speculative overview of a future topic of research. The paper is a collection of ideas concerning two related areas: 1) Graph computation machines ("computing with graphs"). This is the class of models of computation in which the state of…
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via…
We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…
The proposed framework introduces a novel multidimensional representation of money using tensor analysis, enabling a more granular examination of economic interactions and capital flow. By treating money as a multidimensional entity, this…
We identify the algebraic structure of the material histories generated by concurrent processes. Specifically, we extend existing categorical theories of resource convertibility to capture concurrent interaction. Our formalism admits an…
In [2] the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction costs. In this paper, we investigate the notion of stickiness…
We give estimates for the convolution product of an arbitrary number of endlessly continuable functions. This allows us to deal with nonlinear operations for the corresponding resurgent series, e.g. substitution into a convergent power…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
Negotiation is a very common interaction between automated agents. Many common negotiation protocols work with cardinal utilities, even though ordinal preferences, which only rank the outcomes, are easier to elicit from humans. In this work…
A logic is presented for reasoning on iterated sequences of formulae over some given base language. The considered sequences, or "schemata", are defined inductively, on some algebraic structure (for instance the natural numbers, the lists,…
Combinatorial auctions are formulated as frustrated lattice gases on sparse random graphs, allowing the determination of the optimal revenue by methods of statistical physics. Transitions between computationally easy and hard regimes are…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…
Sequential modelling entails making sense of sequential data, which naturally occurs in a wide array of domains. One example is systems that interact with users, log user actions and behaviour, and make recommendations of items of potential…
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…
We study the statistical convergence of metric valued sequences and of their subsequences. The interplay between the statistical and usual convergences in metric spaces is also studied.