Related papers: Informational Efficiency under Short Sale Constrai…
The problem of statistical learning is to construct an accurate predictor of a random variable as a function of a correlated random variable on the basis of an i.i.d. training sample from their joint distribution. Allowable predictors are…
We consider a model of oligopolistic competition in a market with search frictions, in which competing firms with products of unknown quality advertise how much information a consumer's visit will glean. In the unique symmetric equilibrium…
Informational contributions to thermodynamics can be studied in isolation by considering systems with fully-degenerate Hamiltonians. In this regime, being in non-equilibrium -- termed informational non-equilibrium -- provides thermodynamic…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…
Recommendation systems when employed in markets play a dual role: they assist users in selecting their most desired items from a large pool and they help in allocating a limited number of items to the users who desire them the most. Despite…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
We study the algorithmic problem faced by an information holder (seller) who wants to optimally sell such information to a budged-constrained decision maker (buyer) that has to undertake some action. Differently from previous, we consider…
We study deregulated power markets with strategic power suppliers. In deregulated markets, each supplier submits its supply function (i.e., the amount of electricity it is willing to produce at various prices) to the independent system…
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and…
The principle of minimum Fisher information states that in the set of acceptable probability distributions characterizing the given system, it is best done by the one that minimizes the corresponding Fisher information. This principle can…
I consider an environment in which a decision maker faces uncertainty and privately holds information in the form of a signal about the true state of the world. The decision maker purchases additional information from a data broker before…
We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously. More specifically, we consider a financial market…
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
In this paper we address the problem of information-constrained optimal control for an interconnected system subject to one-step communication delays and power constraints. The goal is to minimize a finite-horizon quadratic cost by…
I characterize the consumer-optimal market segmentation in competitive markets where multiple firms selling differentiated products to consumers with unit demand. This segmentation is public---in that each firm observes the same market…