Related papers: Sequences of Arbitrages
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between…
In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices…
Unlike the classical kinetic theory of rarefied gases, where microscopic interactions among gas molecules are described as binary collisions, the modelling of socio-economic phenomena in a multi-agent system naturally requires to consider,…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
This is a survey article for "Handbook of Linear Algebra", 2nd ed., Chapman & Hall/CRC, 2014. An informal introduction to representations of quivers and finite dimensional algebras from a linear algebraist's point of view is given. The…
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been…
This short course offers a new perspective on randomized algorithms for matrix computations. It explores the distinct ways in which probability can be used to design algorithms for numerical linear algebra. Each design template is…
This paper is devoted to a new approach of the arithmetic of intervals. We present the set of intervals as a normed vector space. We define also a four-dimensional associative algebra whose product gives the product of intervals in any…
This paper is an original attempt to understand the foundations of economic reasoning. It endeavors to rigorously define the relationship between subjective interpretations and objective valuations of such interpretations in the context of…
A recent body of experimental literature has studied empirical game-theoretical analysis, in which we have partial knowledge of a game, consisting of observations of a subset of the pure-strategy profiles and their associated payoffs to…
The aim of this note is to show the existence of a correspondance between certain algebraic continued fractions in fields of power series over a finite field and automatic sequences in the same finite field. this connection is illustrated…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
We study shared sequencing for different chains from an economic angle. We introduce a minimal non-trivial model that captures cross-domain arbitrageurs' behavior and compare the performance of shared sequencing to that of separate…
The paper presents an extension of temporal epistemic logic with operators that quantify over strategies. The language also provides a natural way to represent what agents would know were they to be aware of the strategies being used by…
In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…
We study spaces of realisations of linkages (weighted graphs) whose underlying graph is a series parallel graph. In particular, we describe an algorithm for determining whether or not such spaces are connected.
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
This research started with an algebra for reasoning about rely/guarantee concurrency for a shared memory model. The approach taken led to a more abstract algebra of atomic steps, in which atomic steps synchronise (rather than interleave)…
The quest for understanding the complex phenomena of the world has led to the development of various fields of science, each with its own methods, models, and assumptions. However, sometimes these fields can intersect and inspire each…