Related papers: Election Predictions as Martingales: An Arbitrage …
In the Shift Bribery problem, we are given an election (based on preference orders), a preferred candidate $p$, and a budget. The goal is to ensure that $p$ wins by shifting $p$ higher in some voters' preference orders. However, each such…
In the November 2016 U.S. presidential election, many state level public opinion polls, particularly in the Upper Midwest, incorrectly predicted the winning candidate. One leading explanation for this polling miss is that the precipitous…
We present a machine learning approach for finding minimal equivalent martingale measures for markets simulators of tradable instruments, e.g. for a spot price and options written on the same underlying. We extend our results to markets…
We propose a novel approach for estimating conditional or parametric expectations in the setting where obtaining samples or evaluating integrands is costly. Through the framework of probabilistic numerical methods (such as Bayesian…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…
In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the…
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
Bribery in elections is an important problem in computational social choice theory. However, bribery with money is often illegal in elections. Motivated by this, we introduce the notion of frugal bribery and formulate two new pertinent…
We suggest that one individual holds multiple degrees of belief about an outcome, given the evidence. We then investigate the implications of such noisy probabilities for a buyer and a seller of binary options and find the odds agreed upon…
Probability forecasts of events are routinely used in climate predictions, in forecasting default probabilities on bank loans or in estimating the probability of a patient's positive response to treatment. Scoring rules have long been used…
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corresponding single-step extremal martingale measure. This allows…
Prediction markets mobilize financial incentives to forecast binary event outcomes through the aggregation of dispersed beliefs and heterogeneous information. Their growing popularity and demonstrated predictive accuracy in political…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
In this paper we derive an effective equation for derivative pricing which accounts for the presence of virtual arbitrage opportunities and their elimination by the market. We model the arbitrage return by a stochastic process and find an…
In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…
\begin{abstract} In this paper, we integrated the statistical arbitrage strategy, pairs trading, into the Black-Litterman model and constructed efficient mean-variance portfolios. Typically, pairs trading underperforms under volatile or…
We study the complexity of constructive bribery in the context of structured multiwinner approval elections. Given such an election, we ask whether a certain candidate can join the winning committee by adding, deleting, or swapping…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…