Related papers: Elasticity theory of structuring
Game theory is often used as a tool to analyze decentralized systems and their properties, in particular, blockchains. In this note, we take the opposite view. We argue that blockchains can and should be used to implement economic…
A dynamical price formation model for financial assets is presented. It aims to capture the essence of speculative trading where mispricings of assets are used to make profits. It is shown that together with the incorporation of the concept…
Data visualizations are standard tools for assessing and communicating risks. However, it is not always clear which designs are optimal or how encoding choices might influence risk perception and decision-making. In this paper, we report…
Deceptive game designs that manipulate players are increasingly common in the gaming industry, but the impact on players is not well studied. While studies have revealed player frustration, there is a gap in understanding how cultural…
We develop a dynamic model of cascading failures in a financial network whereby cross-holdings are viewed as feedback, external assets investments as inputs and failure penalties as static nonlinearities. We provide sufficient milder and…
"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful…
We attempt to make superdeterminism more intuitive, notably by simulating a deterministic model system, a billiard game. In this system an initial 'bang' correlates all events, just as in the superdeterministic universe. We introduce the…
In mechanical design, there is often unavoidable uncertainty in estimates of design performance. Evaluation of design alternatives requires consideration of the impact of this uncertainty. Expert heuristics embody assumptions regarding the…
In this paper, we present betting strategy of a football game using probability theory. We know all betting houses offer slightly unfair odds towards the player. Here we discuss a simple way to figure out which betting house is offering…
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…
We consider how to make probability forecasts of binary labels. Our main mathematical result is that for any continuous gambling strategy used for detecting disagreement between the forecasts and the actual labels, there exists a…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an investment context where market…
We give elementary examples within a framework for studying decisions under uncertainty where probabilities are only roughly known. The framework, in gambling terms, is that the size of a bet is proportional to the gambler's perceived…
Travel time derivatives are financial instruments that derive their value from road travel times, serving as an underlying asset that cannot be directly traded. Within the transportation domain, these derivatives are proposed as a more…
Commitment devices are powerful tools that can influence and incentivise certain behaviours by linking them to rewards or punishments. These devices are particularly useful in decision-making, as they can steer individuals towards specific…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
Game theory is the study of tractable games which may be used to model more complex systems. Board games, video games and sports, however, are intractable by design, so "ludological" theories about these games as complex phenomena should be…