Related papers: Ergodic transition in a simple model of the contin…
In this paper, we study sequential auctions with two budget constrained bidders and any number of identical items. All prior results on such auctions consider only two items. We construct a canonical outcome of the auction that is the only…
We study the question of setting and testing reserve prices in single item auctions when the bidders are not identical. At a high level, there are two generalizations of the standard second price auction: in the lazy version we first…
We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…
As autobidding systems increasingly dominate online advertising auctions, characterizing their long-term dynamical behavior is brought to the fore. In this paper, we examine the dynamics of autobidders who optimize value subject to a…
Using a model Hamiltonian for a single-mode electromagnetic field interacting with a nonlinear medium, we show that quantum expectation values of subsystem observables can exhibit remarkably diverse ergodic properties even when the dynamics…
The purpose of this paper is to study the time average behavior of Markov chains with transition probabilities being kernels of completely continuous operators, and therefore to provide a sufficient condition for a class of Markov chains…
It has become the default in markets such as ad auctions for participants to bid in an auction through automated bidding agents (autobidders) which adjust bids over time to satisfy return-over-spend constraints. Despite the prominence of…
For a class of linear switched systems in continuous time a controllability condition implies that state feedbacks allow to achieve almost sure stabilization with arbitrary exponential decay rates. This is based on the Multiplicative…
The stochastic processes underlying the growth and stability of biological and psychological systems reveal themselves when far from equilibrium. Far from equilibrium, nonergodicity reigns. Nonergodicity implies that the average outcome for…
Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
We consider continuous-time random walk models described by arbitrary sojourn time probability density functions. We find a general expression for the distribution of time-averaged observables for such systems, generalizing some recent…
Given pseudo-random binary sequence of length $L$, assuming it consists of $k$ sub-sequences of length $N$. We estimate how $k$ scales with growing $N$ to obtain a {\it limiting} ergodic behaviour, to fulfill the basic definition of…
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
To profit from price oscillations, investors frequently use threshold-type strategies where changes in the portfolio position are triggered by some indicators reaching prescribed levels. In this paper, we investigate threshold-type…
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order…
The notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we show that under dynamics that…
Motivated by applications such as stock exchanges and spectrum auctions, there is a growing interest in mechanisms for arranging trade in two-sided markets. Existing mechanisms are either not truthful, or do not guarantee an…
We study a general class of random walks driven by a uniquely ergodic Markovian environment. Under a coupling condition on the environment we obtain strong ergodicity properties and concentration inequalities for the environment as seen…
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the…