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In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the usual real quantity assumption. For finite probability spaces…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
Data-driven control offers a powerful alternative to traditional model-based methods, particularly when accurate system models are unavailable or prohibitively complex. While existing data-driven control methods primarily aim to construct…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other statistical arbitrage strategies, in terms of excursions of a…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market…
This research attempts to model the stochastic process of trades in a limit order book market as a marked point process. We propose a semi-parametric model for the conditional distribution given the past, attempting to capture the effect of…
Trading activities in financial systems create various channels through which systemic risk can propagate. An important contagion channel is financial fire sales, where a bank failure causes asset prices to fall due to asset liquidation,…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
Sticky diffusion processes on bounded domains spend finite time (and finite mean time) on the lower-dimensional space given by the boundary. Once the process hits the boundary, then it starts again after a random amount of time. While on…
Dynamical properties of tropically discretized and max-plus negative feedback models are investigated. Reviewing the previous study [S. Gibo and H. Ito, J. Theor. Biol. 378, 89 (2015)], the conditions under which the Neimark-Sacker…
We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
We investigate the unbiased model for money exchanges with collective debt limit: agents give at random time a dollar to one another as long as they have at least one dollar or they can borrow a dollar from a central bank if the bank is not…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
Compartment models with delay terms are widely used across a range of disciplines. The motivation to include delay terms varies across different contexts. In epidemiological and pharmacokinetic models, the delays are often used to represent…