Related papers: Election predictions are arbitrage-free: response …

This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of possible scenarios. We explain the…

U.S. Presidential Election forecasting has been a research interest for several decades. Currently, election prediction consists of two main approaches: traditional models that incorporate economic data and poll surveys, and models that…

We consider the problem of rational uncertainty about unproven mathematical statements, remarked on by G\"odel and others. Using Bayesian-inspired arguments we build a normative model of fair bets under deductive uncertainty which draws…

In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…

The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…

In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations,…

Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…

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.…

Algorithms with predictions is a recent framework for decision-making under uncertainty that leverages the power of machine-learned predictions without making any assumption about their quality. The goal in this framework is for algorithms…

The field of algorithmic fairness has rapidly emerged over the past 15 years as algorithms have become ubiquitous in everyday lives. Algorithmic fairness traditionally considers statistical notions of fairness algorithms might satisfy in…

Electoral prediction from Twitter data is an appealing research topic. It seems relatively straightforward and the prevailing view is overly optimistic. This is problematic because while simple approaches are assumed to be good enough, core…

The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been…

We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage…

We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…

This paper investigates arbitrage properties of financial markets under distributional uncertainty using Wasserstein distance as the ambiguity measure. The weak and strong forms of the classical arbitrage conditions are considered. A…

This paper gives game-theoretic versions of several results on "merging of opinions" obtained in measure-theoretic probability and algorithmic randomness theory. An advantage of the game-theoretic versions over the measure-theoretic results…

We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…

We provide self-contained proof of a theorem relating probabilistic coherence of forecasts to their non-domination by rival forecasts with respect to any proper scoring rule. The theorem appears to be new but is closely related to results…