Related papers: Foundations for Wash Sales
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…
Distributions of assets returns exhibit a slight skewness. In this note we show that our model of endogenous price formation \cite{Reimann2006} creates an asymmetric return distribution if the price dynamics are a process in which…
In his famous paper, Markowitz (1952) derived the dependence of portfolio random returns on the random returns of its securities. This result allowed Markowitz to obtain his famous expression for portfolio variance. We show that Markowitz's…
In this paper, we draw attention to a problem that is often overlooked or ignored by companies practicing hypothesis testing (A/B testing) in online environments. We show that conducting experiments on limited inventory that is shared…
We consider a resource extraction problem which extends the classical de Finetti problem for a Wiener process to include the case when a competitor, who is equipped with the possibility to extract all the remaining resources in one piece,…
We consider a dynamic pricing problem for repeated contextual second-price auctions with multiple strategic buyers who aim to maximize their long-term time discounted utility. The seller has limited information on buyers' overall demand…
Backtests on historical data are the basis for practical evaluations of portfolio selection rules, but their reliability is often limited by reliance on a single sample path. This can lead to high estimation variance. Resampling techniques…
Cryptoassets such as cryptocurrencies and tokens are increasingly traded on decentralized exchanges. The advantage for users is that the funds are not in custody of a centralized external entity. However, these exchanges are prone to…
This article, based on a talk, treats some elementary, but not completely simple examples from probability. They concern multiple birthday coincidences, throwing dice, the combinatorics of the German card game "Doppelkopf", and the…
Auction theory traditionally assumes that bidders' valuation distributions are known to the auctioneer, such as in the celebrated, revenue-optimal Myerson auction. However, this theory does not describe how the auctioneer comes to possess…
We consider how to optimally allocate investments in a portfolio of competing technologies using the standard mean-variance framework of portfolio theory. We assume that technologies follow the empirically observed relationship known as…
This paper develops a feature-driven model for hybrid power plants, enabling them to exploit available contextual information such as historical forecasts of wind power, and make optimal wind power and hydrogen trading decisions in the…
Debt recycling is an aggressive equity extraction strategy that potentially permits faster repayment of a mortgage. While equity progressively builds up as the mortgage is repaid monthly, mortgage holders may obtain another loan they could…
We show that the phenomenon of anomalous weak values is not limited to quantum theory. In particular, we show that the same features occur in a simple model of a coin subject to a form of classical backaction with pre- and post-selection.…
Accurate demand forecasting is one of the key aspects for successfully managing restaurants and staff canteens. In particular, properly predicting future sales of menu items allows a precise ordering of food stock. From an environmental…
We consider the computational complexity of a problem modeling bribery in the context of voting systems. In the scenario of Swap Bribery, each voter assigns a certain price for swapping the positions of two consecutive candidates in his…
Auctions with partially-revealed information about items are broadly employed in real-world applications, but the underlying mechanisms have limited theoretical support. In this work, we study a machine learning formulation of these types…
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…
We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for…
We study the optimal bailout dividend problem with transaction costs for an insurance company, where shareholder payouts align with the arrival times of an independent Poisson process. In this scenario, the underlying risk model follows a…