Related papers: Can Insider Trading Be Committed Without Trading?
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts…
A fundamental question that has been studied in cryptography and in information theory is whether two parties can communicate confidentially using exclusively an open channel. We consider the model in which the two parties hold inputs that…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
A simple statement and accessible proof of a version of the Fundamental Theorem of Asset Pricing in discrete time is provided. Careful distinction is made between prices and cash flows in order to provide uniform treatment of all…
Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of…
Opacity is a confidentiality property that characterizes the non-disclosure of specified secret information of a system to an outside observer. In this paper, we consider the enforcement of opacity within the discrete-event system formalism…
The world's stock markets display a decades-long pattern of overnight and intraday returns seemingly consistent with only one explanation: one or more large, long-lived quant firms tending to expand its portfolio early in the day (when its…
Humans acquire knowledge by observing the external world, but also by introspection. Introspection gives a person privileged access to their current state of mind (e.g., thoughts and feelings) that is not accessible to external observers.…
Many reports regarding online fraud in varieties media create skepticism for conducting transactions online, especially through an open network such as the Internet, which offers no security whatsoever. Therefore, encryption technology is…
Consider a market where a seller owns an item for sale and a buyer wants to purchase it. Each player has private information, known as their type. It can be costly and difficult for the players to reach an agreement through direct…
Given a set of probability measures $\mathcal{P}$ representing an agent's knowledge on the elements of a sigma-algebra $\mathcal{F}$, we can compute upper and lower bounds for the probability of any event $A\in\mathcal{F}$ of interest. A…
How should a buyer design procurement mechanisms when suppliers' costs are unknown, and the buyer does not have a prior belief? We demonstrate that simple mechanisms - that share a constant fraction of the buyer utility with the seller -…
In online bilateral trade, a platform posts prices to incoming pairs of buyers and sellers that have private valuations for a certain good. If the price is lower than the buyers' valuation and higher than the sellers' valuation, then a…
This note studies the behavior of an index I_t which is assumed to be a tradable security, to satisfy the BSM model dI_t/I_t = \mu dt + \sigma dW_t, and to be efficient in the following sense: we do not expect a prespecified trading…
No significant research has been conducted so far on Intrusion detection due to data availability since, network traffic within companies is private information and no available logs can be found on the Internet for independent research.…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
Financial markets such as bond, derivatives, and repo markets form networks of interdependent obligations. Existing multilateral netting methods typically trade off the extent of netting against preservation of counterparty exposure:…
In decentralized non-custodial micropayments, the central challenge is not whether payments can be executed directly, but under what conditions such systems can offer credit limits without requiring full collateral backing. Existing…
In stabilizer-based quantum secret sharing schemes, it is known that some shares can be distributed to participants before a secret is given to the dealer. This distribution is known as advance sharing. It is already known that a set of…