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Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only…
Given a finite metric, one can construct its tight span, a geometric object representing the metric. The dimension of a tight span encodes, among other things, the size of the space of explanatory trees for that metric; for instance, if the…
We consider fair allocation of indivisible items under an additional constraint: there is an undirected graph describing the relationship between the items, and each agent's share must form a connected subgraph of this graph. This framework…
High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility. For problems…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the…
Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe…
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit…
Frequent pattern (itemset) mining in transactional databases is one of the most well-studied problems in data mining. One obstacle that limits the practical usage of frequent pattern mining is the extremely large number of patterns…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
This short note illustrates the theoretical solution to a trader determining how to optimally swap her wealth into a target asset through on-chain operations. It offers the framework to solve optimal slippage parameters and optimal trade…
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique…
Gaussian process regression is widely used because of its ability to provide well-calibrated uncertainty estimates and handle small or sparse datasets. However, it struggles with high-dimensional data. One possible way to scale this…
This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…
In this paper we present a generalized model for network growth that links the microscopical agent strategies with the large scale behavior. This model is intended to reproduce the largest number of features of the Internet network at the…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval $[0,T]$ in the limit $T \rightarrow \infty$. We further exhibit the asymptotic behaviour of the…
In the paper discrete time shadow price is constructed for the market with several assets with given bid and ask prices. Shadow price is the price such that the problem of optimal utility from terminal wealth on the market without…
The largest eigenvalue of a network's adjacency matrix and its associated principal eigenvector are key elements for determining the topological structure and the properties of dynamical processes mediated by it. We present a physically…