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Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
In this article, a game-theoretic model is constructed that is related to the problem of optimal assignments. Examples are considered. A compromise point is found, the Nash equilibriums and the decision of the Nash arbitration scheme are…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
We study how trading fees and continuous-time arbitrage affect the profitability of liquidity providers (LPs) in Geometric Mean Market Makers (G3Ms). We use stochastic reflected diffusion processes to analyze the dynamics of a G3M model…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
In this paper we describe market in projective geometry language and give definition of a matrix of market rate, which is related to the matrix rate of return and the matrix of judgements in the Analytic Hierarchy Process (AHP). We use…
This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
It is well-known that there are a number of relations between theoretical finance theory and information theory. Some of these relations are exact and some are approximate. In this paper we will explore some of these relations and determine…
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
Long-term outcomes of experimental evaluations are necessarily observed after long delays. We develop semiparametric methods for combining the short-term outcomes of experiments with observational measurements of short-term and long-term…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…
In large-scale games, approximating the opponent's strategy space with a small portfolio of representative strategies is a common and powerful technique. However, the construction of these portfolios often relies on domain-specific…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
In some research evaluation systems, credit awarded to an article depends on the number of co-authors on the article with total credit to the article increasing with the number of co-authors. There are many examples of such evaluation…