Related papers: Non-arbitrage for Informational Discrete Time Mark…
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (\emph{hedging options}) are quoted with…
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been…
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium state, as opportunities for riskless…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
Empirically, many strategic settings are characterized by stable outcomes in which players' decisions are publicly observed, yet no player takes the opportunity to deviate. To analyze such situations in the presence of incomplete…
No-arbitrage asset pricing characterizes valuation through the existence of equivalent martingale measures relative to a filtration and a class of admissible trading strategies. In practice, pricing is performed across multiple asset…
We provide a framework to study stability notions for two-sided dynamic matching markets in which matching is one-to-one and irreversible. The framework gives center stage to the set of matchings an agent anticipates would ensue should they…
A seller sells an object over time but is uncertain how the buyer learns their willingness-to-pay. We consider informational robustness under \textit{limited commitment}, where the seller offers a price \textit{each period} to maximize…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
This paper revisits the Arrow-Debreu general equilibrium framework through the lens of effective trade, emphasizing the distinction between theoretical and realizable market interactions. We develop the Effective Trade Model (ETM), where…
The objective of this paper is to provide a comprehensive study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as…
In this paper, we develop a novel contraction framework for stability analysis of discrete-time nonlinear systems with parameters following stochastic processes. For general stochastic processes, we first provide a sufficient condition for…
Single-index models or time-to-event models are frequently applied in empirical research. These models are non-identifiable in presence of unknown (dependent) censoring or competing risks and do not give informative results in empirical…
In this paper, we introduce a targeted exploration strategy for the non-asymptotic, finite-time case. The proposed strategy is applicable to uncertain linear time-invariant systems subject to sub-Gaussian disturbances. As the main result,…
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…
Nonseparable panel models are important in a variety of economic settings, including discrete choice. This paper gives identification and estimation results for nonseparable models under time homogeneity conditions that are like "time is…
The capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot \mu_i (t) \mathrm{d} \langle \log \mu_i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $\mu_i (\cdot)$…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…