Related papers: Can Turnover Go to Zero?
We study scaled trinomial models converging to the Black--Scholes model, and analyze exponential certainty-equivalent prices for path-dependent European options. As the number of trading dates $n$ tends to infinity and the risk aversion is…
Price controls kill the incentive for arbitrage. We prove a Chaos Theorem: under a binding price ceiling, suppliers are indifferent across destinations, so arbitrarily small cost differences can determine the entire allocation. The economy…
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…
We consider a system with N unit-service-rate queues in tandem, with exogenous arrivals of rate lambda at queue 1, under a back-pressure (MaxWeight) algorithm: service at queue n is blocked unless its queue length is greater than that of…
Recently it has been shown, in several settings, how to carry out adaptive control for an LTI plant so that a convolution bound holds on the closed-loop behavior; this, in turn, has been leveraged to prove robustness of the closed-loop…
Consider a list of $n$ files whose popularities are random. These files are updated according to the move-to-front rule and we consider the induced Markov chain at equilibrium. We give the exact limiting distribution of the search-cost per…
Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the…
In this paper, we analyze the convergence speed of a series related with $\mathcal{P}_\tau^\alpha f$ by discussing the behavior of the family of operators \begin{equation*} T_N^\alpha f(t) = \sum_{j=N_1}^{N_2}…
The limit energy theorem which determines the possibility of transformation the energy flow in power systems in the absence of technical work is investigated and proved for such systems as gas lasers and plasmatrons, chemical gas reactors,…
We test whether simple, interpretable state variables-trend and momentum-can generate durable out-of-sample alpha in one of the world's most liquid assets, gold. Using a rolling 10-year training and 6-month testing walk-forward from 2015 to…
We formulate a general model for the growth of scale-free networks under filtering information conditions--that is, when the nodes can process information about only a subset of the existing nodes in the network. We find that the…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
The power domination number arises from the monitoring of electrical networks and its determination is an important problem. Upper bounds for power domination numbers can be obtained by constructions. Lower bounds for the power domination…
Flows over time enable a mathematical modeling of traffic that changes as time progresses. In order to evaluate these dynamic flows from a game theoretical perspective we consider the price of anarchy (PoA). In this paper we study the…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
We study limit laws for simple random walks on supercritical long-range percolation clusters on the integer lattice. For the long range percolation model, the probability that two vertices are connected behaves asymptotically as a negative…
We derive the statistics of the efficiency under the assumption that thermodynamic fluxes fluctuate with normal law, parametrizing it in terms of time, macroscopic efficiency, and a coupling parameter $\zeta$. It has a peculiar behavior: No…
A heterogeneous closed network with one-server queues with finite capacity and one infinite-server queue is studied. A target application is bike-sharing systems. Heterogeneity is taken into account through clusters whose queues have the…