Related papers: Arbitrage and Geometry
Iterated admissibility is a well-known and important concept in classical game theory, e.g. to determine rational behaviors in multi-player matrix games. As recently shown by Berwanger, this concept can be soundly extended to infinite games…
Strategy iteration is a technique frequently used for two-player games in order to determine the winner or compute payoffs, but to the best of our knowledge no general framework for strategy iteration has been considered. Inspired by…
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…
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of…
How to hedge factor risks without knowing the identities of the factors? We first prove a general theoretical result: even if the exact set of factors cannot be identified, any risky asset can use some portfolio of similar peer assets to…
A valuation for a player in a game in extensive form is an assignment of numeric values to the players moves. The valuation reflects the desirability moves. We assume a myopic player, who chooses a move with the highest valuation.…
We study links between first-order formulas and arbitrary properties for families of theories, classes of structures and their isomorphism types. Possibilities for ranks and degrees for formulas and theories with respect to given properties…
This paper is a sequel to [3]. We formulate a natural algebraic geometry conjecture, give some of its number theoretic and analytical consequences, and show that those can be used to get further advances in wave turbulence theory.
In the application of machine learning to real-life decision-making systems, e.g., credit scoring and criminal justice, the prediction outcomes might discriminate against people with sensitive attributes, leading to unfairness. The commonly…
In classical game theory, optimal strategies are determined for games with complete information; this requires knowledge of the opponent's goals. We analyze games when a player is mistaken about their opponents goals. For definitiveness, we…
We revisit the connection between bargaining and equilibrium in exchange economies, and study its algorithmic implications. We consider bargaining outcomes to be allocations that cannot be blocked (i.e., profitably re-traded) by coalitions…
This contribution derives from a rather extensive study on the foundations of probability. We start by discussing critically the two main models of the random event in Probability Theroy and cast light over a number of incongruities. We…
We introduce the notion of universal graphs as a tool for constructing algorithms solving games of infinite duration such as parity games and mean payoff games. In the first part we develop the theory of universal graphs, with two goals:…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
The notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we show that under dynamics that…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
In algebraic geometry there is the notion of a height pairing of algebraic cycles, which lies at the confluence of arithmetic, Hodge theory and topology. After explaining a motivating example situation, we introduce new directions in this…
We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…
We introduce an evolutionary game with feedback between perception and reality, which we call the reality game. It is a game of chance in which the probabilities for different objective outcomes (e.g., heads or tails in a coin toss) depend…
We consider a general concept of composition and decomposition of objects, and discuss a few natural properties one may expect from a reasonable choice thereof. It will be demonstrated how this leads to multiplication and co- multiplication…