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Most real-world networks are weighted graphs with the weight of the edges reflecting the relative importance of the connections. In this work, we study non degree dependent correlations between edge weights, generalizing thus the…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
Using methods from random matrix theory researchers have recently calculated the full spectra of random networks with arbitrary degrees and with community structure. Both reveal interesting spectral features, including deviations from the…
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a…
We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no-arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs.…
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and…
The existence of EFX allocations is one of the most significant open questions in fair division. Recent work by Christodolou, Fiat, Koutsoupias, and Sgouritsa ("Fair allocation in graphs", EC 2023) establishes the existence of EFX…
Perfect matchings and maximum weight matchings are two fundamental combinatorial structures. We consider the ratio between the maximum weight of a perfect matching and the maximum weight of a general matching. Motivated by the computer…
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy…
A new semi-analytical pricing model for Bermudan swaptions based on swap rates distributions and correlations between them. The model does not require product specific calibration.
We consider a class of simple, non-trivial models of evolving weighted scale-free networks. The network evolution in these models is determined by attachment of new vertices to ends of preferentially chosen weighted edges. Resulting…
We investigate the financial network in the Korean stock exchange (KSE) market, using both numerical simulations and scaling arguments. We estimate the cross-correlation on the stock price exchanges of all companies listed on the the Korean…
In a universal framework that expresses any market system in terms of state transition rules, we prove that every DeFi market system has an invariant function and is thus by definition a CFMM; indeed, all automated market makers (AMMs) are…
We investigate high frequency price dynamics in foreign exchange market using data from Reuters information system (the dataset has been provided to us by Ols en & Associates). In our analysis we show that a na\"ive approach to the…
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual…
We consider ensembles of real symmetric band matrices with entries drawn from an infinite sequence of exchangeable random variables, as far as the symmetry of the matrices permits. In general the entries of the upper triangular parts of…
This paper proposes a new combinatorial auction framework for local energy flexibility markets, which addresses the issue of prosumers' inability to bundle multiple flexibility time intervals. To solve the underlying NP-complete winner…
Exchangeable models for countable vertex-labeled graphs cannot replicate the large sample behaviors of sparsity and power law degree distribution observed in many network datasets. Out of this mathematical impossibility emerges the question…