Related papers: Asymptotic Glosten Milgrom equilibrium
We attempt to reconcile Gabaix and Koijen's (GK) recent Inelastic Market Hypothesis (IMH) with the order-driven view of markets that emerged within the microstructure literature in the past 20 years. We review the most salient empirical…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyse its properties in connection to the…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
Maximum entropy reinforcement learning integrates exploration into policy learning by providing additional intrinsic rewards proportional to the entropy of some distribution. In this paper, we propose a novel approach in which the intrinsic…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…
A new paradigm is proposed for the robustification of the LQG controller against distributional uncertainties on the noise process. Our controller optimizes the closed-loop performances in the worst possible scenario under the constraint…
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is,…
We study the aggregation of two risks when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one risk is smaller than or equal to the other. Risk aggregation problems with the…
We study learning by privately informed forward-looking agents in a simple repeated-action setting of social learning. Under a symmetric signal structure, forward-looking agents behave myopically for any degrees of patience. Myopic…
We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also…
We consider a prospect theoretic version of the classical Q-learning algorithm for discounted reward Markov decision processes, wherein the controller perceives a distorted and noisy future reward, modeled by a nonlinearity that accentuates…
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…
The robust stability problem involves designing a controlled system which remains stable in the presence of modeling uncertainty. In this context, results known as small gain theorems are used to quantify the maximum amount of uncertainty…
Inventory models with lost sales and large lead times have traditionally been considered intractable due to the curse of dimensionality. Recently, Goldberg and co-authors laid the foundations for a new approach to solving these models, by…
The asymptotic behavior of the stochastic gradient algorithm with a biased gradient estimator is analyzed. Relying on arguments based on the dynamic system theory (chain-recurrence) and the differential geometry (Yomdin theorem and…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
In this communication, some economic models given by functional mappings are addressed. These are models for random markets where agents trade by pairs and exchange their money in a random and conservative way. They display the exponential…