Related papers: Robust Financial Bubbles
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X…
We formalize the idea of probability distributions that lead to reliable predictions about some, but not all aspects of a domain. The resulting notion of `safety' provides a fresh perspective on foundational issues in statistics, providing…
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and…
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of $\mathcal{P}$-quasisure bounded random variables, where $\mathcal{P}$ is a (possibly non-dominated) class of probability…
Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…
In a many-to-one matchingmodel with responsive preferences in which indifferences are allowed, we study three notions of core, three notions of stability, and their relationships. We show that (i) the core contains the stable set, (ii) the…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
This paper considers the problem of robust stability for a class of uncertain quantum systems subject to unknown perturbations in the system Hamiltonian. Some general stability results are given for different classes of perturbations to the…
We propose a refinement of the maxmin approach to robustness. A mechanism's payoff guarantee over an ambiguity set is \emph{robust} if the guarantee is approximately satisfied at priors near the ambiguity set (in the weak topology). We show…
Financial markets exhibit complex dynamics where localized events trigger ripple effects across entities. Previous event studies, constrained by static single-company analyses and simplistic assumptions, fail to capture these ripple…
This paper presents a general framework for studying diverse beliefs in dynamic economies. Within this general framework, the characterization of a central-planner general equilbrium turns out to be very easy to derive, and leads to a range…
We investigate the possibility of completing financial markets in a model with no exogenous probability measure and market imperfections. A necessary and sufficient condition is obtained for such extension to be possible.
Economic models may exhibit incompleteness depending on whether or not they admit certain policy-relevant features such as strategic interaction, self-selection, or state dependence. We develop a novel test of model incompleteness and…