Related papers: Generalized statistical arbitrage concepts and rel…
This paper examines the convergence of no-regret learning in games with continuous action sets. For concreteness, we focus on learning via "dual averaging", a widely used class of no-regret learning schemes where players take small steps…
Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators…
We study a fixed point iterative method based on generalized relaxation of strictly quasi-nonexpansive operators. The iterative method is assembled by averaging of strings, and each string is composed of finitely many strictly…
We study a special case of the problem of statistical learning without the i.i.d. assumption. Specifically, we suppose a learning method is presented with a sequence of data points, and required to make a prediction (e.g., a classification)…
Rank regression offers robustness to outliers and heavy-tailed response distributions, invariance to monotonic transformations, and improved efficiency under non-Gaussian errors, making it a versatile tool for analyzing complex data. This…
We investigate the increasingly important and common game-solving setting where we do not have an explicit description of the game but only oracle access to it through gameplay, such as in financial or military simulations and computer…
It is well established that humans decision making and instrumental control uses multiple systems, some which use habitual action selection and some which require deliberate planning. Deliberate planning systems use predictions of…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…
Faced with data-driven policies, individuals will manipulate their features to obtain favorable decisions. While earlier works cast these manipulations as undesirable gaming, recent works have adopted a more nuanced causal framing in which…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
We introduce and analyze a quantum analogue of the Law of Excluded Gambling Strategies of Classical Decision Theory by the definition of different kind of quantum casinos. The necessity of keeping into account entaglement (by the way we…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
Egalitarian considerations play a central role in many areas of social choice theory. Applications of egalitarian principles range from ensuring everyone gets an equal share of a cake when deciding how to divide it, to guaranteeing balance…
We propose a sequential optimizing betting strategy in the multi-dimensional bounded forecasting game in the framework of game-theoretic probability of Shafer and Vovk (2001). By studying the asymptotic behavior of its capital process, we…
We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. In a fully general setting, without imposing any semimartingale restriction, we prove that there…
We generalize Taylor's theorem by introducing a stochastic formulation based on an underlying Poisson point process model. We utilize this approach to propose a novel non-linear regression framework and perform statistical inference of the…
This article extends the idea of solving parity games by strategy iteration to non-deterministic strategies: In a non-deterministic strategy a player restricts himself to some non-empty subset of possible actions at a given node, instead of…
A Two-Stage approach enables researchers to make optimal non-linear predictions via Generalized Ridge Regression using models that contain two or more x-predictor variables and make only realistic minimal assumptions. The optimal regression…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…
Probabilistic Graphical Bayesian models of causation have continued to impact on strategic analyses designed to help evaluate the efficacy of different interventions on systems. However, the standard causal algebras upon which these…