Related papers: Synchronicity, Instant Messaging and Performance a…
In order to be effective teammates, robots need to be able to understand high-level human behavior to recognize, anticipate, and adapt to human motion. We have designed a new approach to enable robots to perceive human group motion in…
Spontaneous synchronization has long served as a paradigm for behavioral uniformity that can emerge from interactions in complex systems. When the interacting entities are identical and their coupling patterns are also identical, the…
We investigate the emergence of synchronization in a network of coupled chaotic macroeconomic systems. Each node represents an economy characterized by three key variables savings, gross domestic product (GDP), and foreign capital inflows.…
The paper investigates the synchronization of a network of identical linear state-space models under a possibly time-varying and directed interconnection structure. The main result is the construction of a dynamic output feedback coupling…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…
In this work and the supporting Parts II [2] and III [3], we provide a rather detailed analysis of the stability and performance of asynchronous strategies for solving distributed optimization and adaptation problems over networks. We…
The successes of Artificial Intelligence in recent years in areas such as image analysis, natural language understanding and strategy games have sparked interest from the world of finance. Specifically, there are high expectations, and…
We present exact results, as well as some illustrative Monte Carlo simulations, concerning a stochastic network with weighted connections in which the fraction of nodes that are dynamically synchronized is a parameter. This allows one to…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
In this paper, we examine in an abstract framework, how a tradeoff between efficiency and robustness arises in different dynamic oligopolistic market architectures. We consider a market in which there is a monopolistic resource provider and…
Pair trading is one of the most effective statistical arbitrage strategies which seeks a neutral profit by hedging a pair of selected assets. Existing methods generally decompose the task into two separate steps: pair selection and trading.…
We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an…
All interesting and fascinating collective properties of a complex system arise from the intricate way in which its components interact. Various systems in physics, biology, social sciences and engineering have been successfully modelled as…
The present paper investigates how insiders strategically navigate ongoing legal risk while leveraging stealth trading within a continuous-time Kyle-type framework. Legal enforcement operates concurrently with trading, which dynamic can be…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…
High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which…
Markets efficiency implies that the stock returns are intrinsically unpredictable, a property that makes markets comparable to random number generators. We present a novel methodology to investigate ultra-high frequency financial data and…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
We consider synchronization of coupled dynamical systems when different types of interactions are simultaneously present. We assume that a set of dynamical systems are coupled through the connections of two or more distinct networks (each…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…