Related papers: Optimal Bookmaking
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…
We investigate the problem of gambling with uncertainty in outcome probabilities. Stochastic optimization models are proposed for optimal investing on events with mutually exclusive outcomes when probabilities are estimated using…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…
This paper explores the significant history of professional football and the betting industry, tracing its evolution from clandestine beginnings to a lucrative multi-million-pound enterprise. Initiated by the legalization of gambling in…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
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…
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a…
We consider how an agent should update her uncertainty when it is represented by a set P of probability distributions and the agent observes that a random variable X takes on value x, given that the agent makes decisions using the minimax…
We consider how an agent should update her uncertainty when it is represented by a set $\P$ of probability distributions and the agent observes that a random variable $X$ takes on value $x$, given that the agent makes decisions using the…
We focus on a permutation betting market under parimutuel call auction model where traders bet on the final ranking of n candidates. We present a Proportional Betting mechanism for this market. Our mechanism allows the traders to bet on any…
We study the design of optimal incentives in sequential processes. To do so, we consider a basic and fundamental model in which an agent initiates a value-creating sequential process through costly investment with random success. If…
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage…
Prediction markets provide an efficient means to assess uncertain quantities from forecasters. Traditional and competitive strictly proper scoring rules have been shown to incentivize players to provide truthful probabilistic forecasts.…