Related papers: A theoretical framework for trading experiments
In a prediction market, individuals can sequentially place bets on the outcome of a future event. This leaves a trail of personal probabilities for the event, each being conditional on the current individual's private background knowledge…
Activity in neocortex exhibits a range of behaviors, from irregular to temporally precise, and from weakly to strongly correlated. So far there has been no single theoretical framework that could explain all these behaviors, leaving open…
In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…
The starting point of this paper is the so-called Robust Positive Expectation (RPE) Theorem, a result which appears in literature in the context of Simultaneous Long-Short stock trading. This theorem states that using a combination of two…
This article develops a framework for testing general hypothesis in high-dimensional models where the number of variables may far exceed the number of observations. Existing literature has considered less than a handful of hypotheses, such…
In a strategy-proof mechanism, the influence of an agent may be measured as the set of outcomes an agent can bring about by varying her (reported) type. More specifically, we refer to an agent's influence on her own relevant outcomes as her…
A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…
We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space framework underlies the factor model whereby asset returns are…
In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…
While the philosophical literature has extensively studied how decisions relate to arguments, reasons and justifications, decision theory almost entirely ignores the latter notions and rather focuses on preference and belief. In this…
Building a machine learning solution in real-life applications often involves the decomposition of the problem into multiple models of various complexity. This has advantages in terms of overall performance, better interpretability of the…
Contemporary scientific research is a distributed, collaborative endeavor, carried out by teams of researchers, regulatory institutions, funding agencies, commercial partners, and scientific bodies, all interacting with each other and…
In variable selection, a selection rule that prescribes the permissible sets of selected variables (called a "selection dictionary") is desirable due to the inherent structural constraints among the candidate variables. Such selection rules…
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…
In this paper, we propose a new spectral-based approach to hypothesis testing for populations of networks. The primary goal is to develop a test to determine whether two given samples of networks come from the same random model or…
Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
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…
General Equilibrium Theory is the benchmark of economics, especially its results concerning the efficient allocation of resources, known as the First and Second Welfare Theorems. Yet, General Equilibrium Theory is beyond the scope of most…