Related papers: A Modern Approach to the Efficient-Market Hypothes…
Equilibrium computation in markets usually considers settings where player valuation functions are known. We consider the setting where player valuations are unknown; using a PAC learning-theoretic framework, we analyze some classes of…
Efficient risk transfer is an important condition for ensuring the sustainability of a market according to the established economics literature. In an inefficient market, significant financial imbalances may develop and potentially…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…
We consider a simple model of rational agents competing in a single product market described by simple linear demand curve. Contrary to accepted economic theory, the agents' production levels synchronise in the absence of conscious…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage…
The purpose of this article is to propose a new "theory," the Strategic Analysis of Financial Markets (SAFM) theory, that explains the operation of financial markets using the analytical perspective of an enlightened gambler. The gambler…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
We study Fisher markets that admit equilibria wherein each good is integrally assigned to some agent. While strong existence and computational guarantees are known for equilibria of Fisher markets with additive valuations, such equilibria,…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently…
In this work we investigate the inefficiency of the electricity system with strategic agents. Specifically, we prove that without a proper control the total demand of an inefficient system is at most twice the total demand of the optimal…
Motivated by recent progress on pricing in the AI literature, we study marketplaces that contain multiple vendors offering identical or similar products and unit-demand buyers with different valuations on these vendors. The objective of…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus…
We study a competitive electricity market equilibrium with two trading stages, day-ahead and real-time. The welfare of each market agent is exposed to uncertainty (here from renewable energy production), while agent information on the…
Efficient Market Hypothesis is the popular theory about stock prediction. With its failure much research has been carried in the area of prediction of stocks. This project is about taking non quantifiable data such as financial news…