Related papers: A note comprising a negative resolution of the Eff…
In black-box optimization, noise in the objective function is inevitable. Noise disrupts the ranking of candidate solutions in comparison-based optimization, possibly deteriorating the search performance compared with a noiseless scenario.…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
The concept of efficiency plays a prominent role in the formal solution of decision problems that involve incomparable alternatives. This paper develops necessary and sufficient conditions for the efficient points in a sum of sets of…
A result about projections of Gibbs measures from a particular class arising in economic modeling is proved.
The purpose of this note is to present a formulation of a given nonlinear ordinary differential equation into an equivalent system of linear ordinary differential equations. It is evident that the easiness of a such procedure would be able…
We obtain simple proofs of certain inequalites for bivariate means.
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and…
Here we briefly discuss how negative numbers, or "negative probabilities", can naturally arise in probabilistic expressions and be given an operational interpretation. Like the use of negative numbers in arithmetical expressions, the use of…
A survey of mean inequalities with real weights is given.
In this paper, we will present some results on the counterfeit coins problem in the case of multi-sets.
We analyze the convergence of expected utility under the approximation of the Black-Scholes model by binomial models. In a recent paper by D. Kreps and W. Schachermayer a surprising and somewhat counter-intuitive example was given: such a…
In this note, we presented a new decomposition of elements of finite fields of even order and illustrated that it is an effective tool in evaluation of some specific exponential sums over finite fields, the explicit value of some…
The aim of this note is to show that Poincar\'e inequalities imply corresponding weighted versions in a quite general setting. Fractional Poincar\'e inequalities are considered, too. The proof is short and does not involve covering…
This is an expository note on useful expressions for the density function of a product of independent random variables where each variable has a Beta distribution.
This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = \mu dt + \sigma dW_t, and to be efficient in the following sense: we do not expect a prespecified trading…
In this note, we give examples that demonstrate a negative answer to the generalized numerical criterion problem for pairs.
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…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
We introduce a private quantum money scheme with the note verification procedure based on Sampling Matching, a problem in the one-way communication complexity model introduced by Kumar et al.[Nature Communications 10, Article number: 4152].…