Related papers: Clearing price distributions in call auctions
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
We examine the problem of clearing day-ahead electricity market auctions where each bidder, whether a producer or consumer, can specify a minimum profit or maximum payment condition constraining the acceptance of a set of bid curves…
We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
The common way to optimize auction and pricing systems is to set aside a small fraction of the traffic to run experiments. This leads to the question: how can we learn the most with the smallest amount of data? For truthful auctions, this…
We obtain revenue guarantees for the simple pricing mechanism of a single posted price, in terms of a natural parameter of the distribution of buyers' valuations. Our revenue guarantee applies to the single item n buyers setting, with…
Intra-day price variations in financial markets are driven by the sequence of orders, called the order flow, that is submitted at high frequency by traders. This paper introduces a novel application of the Sequence Generative Adversarial…
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…
The price of a stock will rarely follow the assumed model and a curious investor or a Regulatory Authority may wish to obtain a probability model the prices support. A risk neutral probability ${\cal P}^*$ for the stock's price at time $T$…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…
Auctions have been proposed as a way to provide economic incentives for primary users to dynamically allocate unused spectrum to other users in need of it. Previously proposed schemes do not take into account the fact that the power…
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…