Related papers: Informational Efficiency under Short Sale Constrai…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
We study the market impact of a meta-order in the framework of the Minority Game. This amounts to studying the response of the market when introducing a trader who buys or sells a fixed amount h for a finite time T. This perturbation…
In many classification settings, the class of primary interest is underrepresented, leading to imbalanced data problems that arise in applications such as rare disease detection and fraud identification. In these contexts, identifying a…
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…
How does competition in markets for information affect the creation and division of surplus? We study this question in a search environment in which an agent searches sequentially for a high-quality good and learns about the quality of…
We study the intrinsic limitations of sequential convex optimization through the lens of feedback information theory. In the oracle model of optimization, an algorithm queries an {\em oracle} for noisy information about the unknown…
An information broker incentivizes consumers to share their information, while designing an information structure to shape the market segmentation. The information broker is a metaphor for an Internet platform that matches consumers with…
Short sales are regarded as negative purchases in textbook asset pricing theory. In reality, however, the symmetry between purchases and short sales is broken by a variety of costs and risks peculiar to the latter. We formulate an optimal…
Concurrent Constraint Programming (CCP) is a simple and powerful model for concurrency where agents interact by telling and asking constraints. Since their inception, CCP-languages have been designed for having a strong connection to logic.…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
In order to deal with market power that sporadically results from contingencies (e.g., severe weather, plant outages) most electricity markets have institutions in charge of monitoring market performance and mitigating market power. The…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new methods for testing the famous efficient…
Statistical procedures rarely retain all features of the observed data. A sufficient statistic removes information irrelevant to a parameter; a maximum likelihood estimate compresses an empirical objective into an optimizing point; and a…
We propose an effect called information constraint which is characterized by the existence of different decay rates of signal strengths propagating along opposite directions. It is an intrinsic property of a type of open quantum system,…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in…
When selling information products, the seller can provide some free partial information to change people's valuations so that the overall revenue can possibly be increased. We study the general problem of advertising information products by…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…