Related papers: Informational Efficiency under Short Sale Constrai…
We consider adaptive decision-making problems where an agent optimizes a cumulative performance objective by repeatedly choosing among a finite set of options. Compared to the classical prediction-with-expert-advice set-up, we consider…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
Optimizing objective functions subject to constraints is fundamental in many real-world applications. However, these constraints are often not readily defined and must be inferred from expert agent behaviors, a problem known as Inverse…
Weak form of the Efficiency Market Hypothesis (EMH) excludes predictions of future market movements from historical data and makes the technical analysis (TA) out of law. However the technical analysis is widely used by traders and…
The efficient market hypothesis considers all available information already reflected in asset prices and limits the possibility of consistently achieving above-average returns by trading on publicly available data. We analyzed low…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
Synapses are information efficient in the sense that their natural conductance values convey as many bits per Joule as possible, but efficiency falls rapidly if the conductance is forced to deviate from its natural value (Harris et al,…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
Forecasting accuracy is bounded by the information available about the future. This paper makes that statement precise using information-theoretic tools. Under logarithmic loss, the expected performance of any probabilistic forecast…
The exploration of complex physical or technological processes usually requires exploiting available information from different sources: (i) physical laws often represented as a family of parameter dependent partial differential equations…
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
This paper studies the informativity problem for reachability and null-controllability of constrained systems. To be precise, we will focus on an unknown linear systems with convex conic constraints from which we measure data consisting of…
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in units of the num\'{e}raire portfolio. According to the…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents overtime, S is the discounted price process of d-tradable…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
Fisher markets are those where buyers with budgets compete for scarce items, a natural model for many real world markets including online advertising. A market equilibrium is a set of prices and allocations of items such that supply meets…