Related papers: Data assimilation in price formation
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
In this paper we propose an extension of the Lasry-Lions price formation model which includes fluctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size fluctuations and…
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
We employ optimal control theory to study the problem of estimating the probability density function from a data set originating from an unknown probability distribution. The original variational problem is reformulated as a multi-stage…
We are interested in the nonparametric estimation of the probability density of price returns, using the kernel approach. The output of the method heavily relies on the selection of a bandwidth parameter. Many selection methods have been…
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems, we only observe option prices and their corresponding strike prices rather than samples from the state…
In this paper we study the asymptotic behavior of a Boltzmann type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transactions costs.…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
Data assimilation refers to the problem of finding trajectories of a prescribed dynamical model in such a way that the output of the model (usually some function of the model states) follows a given time series of observations. Typically…
Data assimilation addresses the general problem of how to combine model-based predictions with partial and noisy observations of the process in an optimal manner. This survey focuses on sequential data assimilation techniques using…
We carry out a rigorous analysis of four-dimensional variational data assimilation ($4D$-VAR) problems for linear and semilinear parabolic partial differential equations. Continuity of the state with respect to the spatial variable is…
We study the problem when a firm sets prices for products based on the transaction data, i.e., which product past customers chose from an assortment and what were the historical prices that they observed. Our approach does not impose a…
Problem definition: We study a data-driven pricing problem in which a seller sets a price for a single item based on demand observed at a limited number of historical prices. Our goal is to quantify the value of such information and to…
We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to maximize his income. We model the…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
In the present work we tackle the problem of finding the optimal price tariff to be set by a risk-averse electric retailer participating in the pool and whose customers are price-sensitive. We assume that the retailer has access to a…
The formation of price in a financial market is modelled as a chain of Ising spin with three fundamental figures of trading. We investigate the time behaviour of the model, and we compare the results with the real EURO/USD change rate. By…
We study prediction-assimilation systems, which have become routine in meteorology and oceanography and are rapidly spreading to other areas of the geosciences and of continuum physics. The long-term, nonlinear stability of such a system…
We consider the problem of estimating the density $\Pi$ of a determinantal process $N$ from the observation of $n$ independent copies of it. We use an aggregation procedure based on robust testing to build our estimator. We establish…