Related papers: Cross-impact and no-dynamic-arbitrage
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period model, and under a probabilistic condition for multi-period,…
The average treatment effect (ATE), the mean difference in potential outcomes under treatment and control, is a canonical causal effect. Overlap, which says that all subjects have non-zero probability of either treatment status, is…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
This study investigates how financial market structure reorganizes during the COVID-19 crash using a conditional p-threshold mutual information (MI) based Minimum Spanning Tree (MST) framework. We analyze nonlinear dependencies among the…
The crucial aspect of this demonstration is the discovery of renewal events, hidden in the computed dynamics of a multifractal metronome, which enables the replacement of the phenomenon of strong anticipation with a time delayed…
Many marketing applications, including credit card incentive programs, offer rewards to customers who exceed specific spending thresholds to encourage increased consumption. Quantifying the causal effect of these thresholds on customers is…
Localized shocks arising from climate extremes, geopolitical conflicts, and trade protectionism cascade through trade networks, triggering global food crises. Cross-product substitution, a critical response strategy, induces cross-product…
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framework allows one to compute the average price trajectory in the…
How to price and hedge claims on nontraded assets are becoming increasingly important matters in option pricing theory today. The most common practice to deal with these issues is to use another similar or "closely related" asset or index…
We formulate a rigorous method for calculating a nonadiabatic (frequency-dependent) exchange-correlation (XC) kernel required for correct description of both equilibrium and nonequilibrium properties of strongly correlated systems within…
This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The…
Based on the work of Suzuki (2002), we consider a generalization of Merton's asset valuation approach (Merton, 1974) in which two firms are linked by cross-ownership of equity and liabilities. Suzuki's results then provide no arbitrage…
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call…
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the classical forward is a financial agreement…
Suppose that we are interested in the average causal effect of a binary treatment on an outcome when this relationship is confounded by a binary confounder. Suppose that the confounder is unobserved but a non-differential binary proxy of it…
First, we give an asymptotic expansion of short-dated at-the-money implied volatility that refines the preceding works and proves in particular that non-rough volatility models are inconsistent to a power law of volatility skew. Second, we…
Exchange-driven growth is a process in which pairs of clusters interact and exchange a single unit of mass. The rate of exchange is given by an interaction kernel $K(j,k)$ which depends on the masses of the two interacting clusters. In this…
We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to…