Related papers: Game-Theoretic Capital Asset Pricing in Continuous…
We extend anytime constraints to the Markov game setting and the corresponding solution concept of an anytime-constrained equilibrium (ACE). Then, we present a comprehensive theory of anytime-constrained equilibria that includes (1) a…
The first-price auction is popular in practice for its simplicity and transparency. Moreover, its potential virtues grow in complex settings where incentive compatible auctions may generate little or no revenue. Unfortunately, the…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
We consider a large community of individuals who mix strongly and meet in pairs to bet on a coin toss. We investigate the asset distribution of the players involved in this zero-sum repeated game. Our main result is that the asset…
Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…
Quantum computation holds promise for the solution of many intractable problems. However, since many quantum algorithms are stochastic in nature they can only find the solution of hard problems probabilistically. Thus the efficiency of the…
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the…
Quantum games, like quantum algorithms, exploit quantum entanglement to establish strong correlations between strategic player actions. This paper introduces quantum game-theoretic models applied to trading and demonstrates their…
Mainstream financial econometrics methods are based on models well tuned to replicate price dynamics, but with little to no economic justification. In particular, the randomness in these models is assumed to result from a combination of…
Mean-payoff games on timed automata are played on the infinite weighted graph of configurations of priced timed automata between two players, Player Min and Player Max, by moving a token along the states of the graph to form an infinite…
This paper investigates the financial economics of simple periodic systems. Well-established financial procedures appear to be complicated, and lead to partially biased results. Probability theory is applied, and the focus is on the…
The capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot \mu_i (t) \mathrm{d} \langle \log \mu_i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $\mu_i (\cdot)$…
In-play football forecasting models have struggled to match the accuracy of betting exchange prices, which aggregate information from many market participants. We close this gap by combining two extensions to a Weibull accelerated failure…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
The problem of continuous machine learning is studied. Within the framework of the game-theoretic approach, when for calculating the next forecast, no assumptions about the stochastic nature of the source that generates the data flow are…
We consider a variant of sequential testing by betting where, at each time step, the statistician is presented with multiple data sources (arms) and obtains data by choosing one of the arms. We consider the composite global null hypothesis…
The CAP theorem asserts a trilemma between consistency, availability, and partition tolerance. This paper introduces a rigorous automata-theoretic and economically grounded framework that reframes the CAP trade-off as a constraint…
The paper proposes a natural measure space of zero-sum perfect information games with upper semicontinuous payoffs. Each game is specified by the game tree, and by the assignment of the active player and of the capacity to each node of the…
We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three…
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…