Related papers: Arbitrage and Geometry
We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in…
The goal of this note is to provide a geometric setting in which generalized arithmetic means are best predictors in an appropriate metric. This characterization provides a geometric interpretation to the concept of certainty equivalent.…
We consider the problem of computing upper and lower bounds on the price of a European basket call option, given prices on other similar baskets. Although this problem is very hard to solve exactly in the general case, we show that in some…
Farkas' Lemma is a foundational result in linear programming, with implications in duality, optimality conditions, and stochastic and bilevel programming. Its generalizations are known as theorems of the alternative. There exist theorems of…
We study resource allocation in two-sided markets from a fundamental perspective and introduce a general modeling and algorithmic framework to effectively incorporate the complex and multidimensional aspects of fairness. Our main technical…
In markets where algorithmic data processing is increasingly prevalent, recommendation algorithms can substantially affect trade and welfare. We consider a setting in which an algorithm recommends a product based on its value to the buyer…
The relative arbitrage portfolio outperforms a benchmark portfolio over a given time-horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi-agent…
The combination of the Bayesian game and learning has a rich history, with the idea of controlling a single agent in a system composed of multiple agents with unknown behaviors given a set of types, each specifying a possible behavior for…
Betting games provide a natural setting to capture how information yields strategic advantage. The Kelly criterion for betting, long a cornerstone of portfolio theory and information theory, admits an interpretation in the limit of…
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy…
In the paper we study markets with concave transaction costs which depend in a concave way on the volume of transaction. This is typical situation in the case of small investors, which commonly appears in currency and real estate markets.…
We study a sequential decision-making model where a set of items is repeatedly matched to the same set of agents over multiple rounds. The objective is to determine a sequence of matchings that either maximizes the utility of the least…
Dealing with quadratic payments, marginal probability is usually considered ideally constant, maybe for the sake of initial simplicity. Considering the voting scenario depicted in "Quadratic Payments: A Primer" by Vitalik Buterin, firstly…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
Caratheodory's axiom of adiabatic inaccessibility states that, in any neighborhood of a thermodynamic state, certain states remain unreachable via adiabatic processes. Non-arbitrage mirrors this topological restriction in finance.…
This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection…
The recent explosion in the amount and dimensionality of data has exacerbated the need of trading off computational and statistical efficiency carefully, so that inference is both tractable and meaningful. We propose a framework that…
We present a structural approach toward achieving equal opportunity in systems of algorithmic decision-making called algorithmic pluralism. Algorithmic pluralism describes a state of affairs in which no set of algorithms severely limits…
We consider the estimation of binary election outcomes as martingales and propose an arbitrage pricing when one continuously updates estimates. We argue that the estimator needs to be priced as a binary option as the arbitrage valuation…
The game in which acts of participants don't have an adequate description in terms of Boolean logic and classical theory of probabilities is considered. The model of the game interaction is constructed on the basis of a non-distributive…