Related papers: Trade-based Asset Model using Dynamic Junction Tre…
A market-maker-based prediction market lets forecasters aggregate information by editing a consensus probability distribution either directly or by trading securities that pay off contingent on an event of interest. Combinatorial prediction…
We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent…
A combinatorial trade is a pair of sets of blocks of elements that can be exchanged while preserving relevant subset intersection constraints. The class of balanced and swap-robust minimal trades was proposed in [1] for exchanging blocks of…
We propose a dynamic model of a prediction market in which agents predict the values of a sequence of random vectors. The main result shows that if there are agents who make correct (or asymptotically correct) next-period forecasts, then…
Designing automated market makers (AMMs) for prediction markets on combinatorial securities over large outcome spaces poses significant computational challenges. Prior research has primarily focused on combinatorial prediction markets…
Prediction markets allow users to trade on outcomes of real-world events, but are prone to fragmentation through overlapping questions, implicit equivalences, and hidden contradictions across markets. We present an agentic AI pipeline that…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…
Combining models in appropriate ways to achieve high performance is commonly seen in machine learning fields today. Although a large amount of combinatorial models have been created, little attention is drawn to the commons in different…
This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the…
Prediction markets show considerable promise for developing flexible mechanisms for machine learning. Here, machine learning markets for multivariate systems are defined, and a utility-based framework is established for their analysis. This…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
Stock market returns are typically analyzed using standard regression, yet they reside on irregular domains which is a natural scenario for graph signal processing. To this end, we consider a market graph as an intuitive way to represent…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
A hierarchical Bayesian framework is introduced for developing tree-based mixture models for time series, partly motivated by applications in finance and forecasting. At the top level, meaningful discrete states are identified as…
Prediction markets are used in real life to predict outcomes of interest such as presidential elections. This paper presents a mathematical theory of artificial prediction markets for supervised learning of conditional probability…
Consistent alpha generation, i.e., maintaining an edge over the market, underpins the ability of asset traders to reliably generate profits. Technical indicators and trading strategies are commonly used tools to determine when to…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Pairs-trading is a trading strategy that involves matching a long position with a short position in two stocks aiming at market-neutral profits. While a typical pairs-trading system monitors the prices of two statistically correlated stocks…