Related papers: A theoretical framework for trading experiments
We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that, in a multistep, generically incomplete financial market…
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…
Reliability is an essential measure of how closely observed scores represent latent scores (reflecting constructs), assuming some latent variable measurement model. We present a general theoretical framework of reliability, placing emphasis…
One of the basic frameworks in science views behavioral products as a process within a dynamic system. The mechanism might be seen as a representation of many instances of centralized control in real time. Many real systems, however,…
Recent research has extended methods from the fields of thermodynamics and statistical mechanics into other disciplines. Most notably, one recent work creates a unified theoretical framework to understand evolutionary biology, machine…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in…
In this paper, we address program development by multiple different programmers (or programming teams), each working in different settings (programming languages or reasoning frameworks), but following a common specification; in particular,…
The process of doing Science in condition of uncertainty is illustrated with a toy experiment in which the inferential and the forecasting aspects are both present. The fundamental aspects of probabilistic reasoning, also relevant in real…
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…
Many classical models of collective behavior assume that emergent dynamics result from external and observable interactions among individuals. However, how collective dynamics in human populations depend on the internal psychological…
We propose a generic game-based approach for test case generation. We set up a game between the tester and the System Under Test, in such a way that test cases correspond to game strategies, and the conformance relation ioco corresponds to…
Studying the micro-trading behaviors before stock price jumps is an important problem for financial regulations and investment decisions. In this study, we provide a new framework to study pre-jump trading behaviors based on multivariate…
We introduce a formal framework for analyzing trades in financial markets. An exchange is where multiple buyers and sellers participate to trade. These days, all big exchanges use computer algorithms that implement double sided auctions to…
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 provide here a general mathematical framework to model attitudes towards ambiguity which uses the formalism of quantum theory as a ``purely mathematical formalism, detached from any physical interpretation''. We show that the…
We examine hypothesis testing within a principal-agent framework, where a strategic agent, holding private beliefs about the effectiveness of a product, submits data to a principal who decides on approval. The principal employs a hypothesis…
We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint distribution of the multiple variables (the measured signal)…
In the science of emotion, it is widely assumed that folk emotion categories form a biological and psychological typology, and studies are routinely designed and analyzed to identify emotion-specific patterns. This approach shapes the…
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…