Related papers: Sequences of Arbitrages
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating…
The survey is devoted to the combinatorial and metric theory of filtrations, i.\,e., decreasing sequences of $\sigma$-algebras in measure spaces or decreasing sequences of subalgebras of certain algebras. One of the key notions, that of…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
The concept of sequential choice functions is introduced and studied. This concept applies to the reduction of the problem of stable matchings with sequential workers to a situation where the workers are linear.
This paper introduces context algebras and demonstrates their application to combining logical and vector-based representations of meaning. Other approaches to this problem attempt to reproduce aspects of logical semantics within new…
We consider a sequential decision model over multi-tier supply chain networks and show that in particular, for series parallel networks, there is a unique equilibrium. We provide a linear time algorithm to compute the equilibrium and study…
As dynamic and control systems become more complex, relying purely on numerical computations for systems analysis and design might become extremely expensive or totally infeasible. Computer algebra can act as an enabler for analysis and…
The present paper refers to the theory and the practice of the systems regarding non-linear systems and their applications. We aimed the integration of these systems to elaborate their response as well as to highlight some outstanding…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Traces and their extension called combined traces (comtraces) are two formal models used in the analysis and verification of concurrent systems. Both models are based on concepts originating in the theory of formal languages, and they are…
We introduce a framework that allows for the construction of sequent systems for expressive description logics extending ALC. Our framework not only covers a wide array of common description logics, but also allows for sequent systems to be…
The paper is devoted to study new classes of chains of evolution algebras and their time-depending dynamics. Moreover, we construct some Rote-Baxter operators of such algebras.
We study a sequential decision-making model where a set of items is repeatedly matched to the same set of agents over multiple rounds. The objective is to determine a sequence of matchings that either maximizes the utility of the least…
In fair division of indivisible goods, using sequences of sincere choices (or picking sequences) is a natural way to allocate the objects. The idea is as follows: at each stage, a designated agent picks one object among those that remain.…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
We introduce a microscopic model which describes the dynamics of each dealer in multiple foreign exchange markets, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We…
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…
This paper introduces a class of objects called decision rules that map infinite sequences of alternatives to a decision space. These objects can be used to model situations where a decision maker encounters alternatives in a sequence such…
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and…
An overview of current multiple alignment systems to date are described.The useful algorithms, the procedures adopted and their limitations are presented.We also present the quality of the alignments obtained and in which cases(kind of…