Related papers: Can Insider Trading Be Committed Without Trading?
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…
Pair trading is a market-neutral quantitative trading strategy that exploits price anomalies between two correlated assets. By taking simultaneous long and short positions, it generates profits based on relative price movements, independent…
If a court knows that a respondent knows the password to a device, can the court compel the respondent to enter that password into the device? In this work, we propose a new approach to the foregone conclusion doctrine from Fisher v US that…
Cybercrime is continuously growing in numbers and becoming more sophisticated. Currently, there are various monetisation and money laundering methods, creating a huge, underground economy worldwide. A clear indicator of these activities is…
For different factors/reasons, ranging from inherent characteristics and features providing decentralization, enhanced privacy, ease of transactions, etc., to implied external hardships in enforcing regulations, contradictions in data…
By sending systems in specially prepared quantum states, two parties can communicate without an eavesdropper being able to listen. The technique, called quantum cryptography, enables one to verify that the state of the quantum system has…
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.…
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time \tau is modelled as the first time a stochastic process hits a random barrier L. The insider…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
Cryptocurrencies are considered relevant assets and they are currently used as an investment or to carry out transactions. However, specific characteristics commonly associated with the cryptocurrencies such as irreversibility,…
We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. In a fully general setting, without imposing any semimartingale restriction, we prove that there…
Inventory matching is a standard mechanism/auction for trading financial stocks by which buyers and sellers can be paired. In the financial world, banks often undertake the task of finding such matches between their clients. The related…
We propose a type system for a calculus of contracting processes. Processes can establish sessions by stipulating contracts, and then can interact either by keeping the promises made, or not. Type safety guarantees that a typeable process…
The number of blockchain users has tremendously grown in recent years. As an unintended consequence, e-crime transactions on blockchains has been on the rise. Consequently, public blockchains have become a hotbed of research for developing…
Covert communication allows us to transmit messages in such a way that it is not possible to detect that the communication is occurring. This provides protection in situations where knowledge that people are talking to each other may be…
It is a common belief that the behavior of shareholders depends upon the direction of price fluctuations: if prices increase they buy, if prices decrease they sell. That belief, however, is more based on ``common sense'' than on facts. In…
This research investigated how online criminal activities can be better understood and connected using data-driven machine learning methods. Many illegal activities, such as human trafficking and illicit trade, have moved to online…
We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…
Warrants with stock price dependent threshold conditions give the right to buy specially issued stocks, if the performance of the stock price satisfies some requirements. Existence of these derivatives changes the price process of the…
Recent advances in artificial intelligence (AI) for quantitative trading have led to its general superhuman performance in significant trading performance. However, the potential risk of AI trading is a "black box" decision. Some AI…