Related papers: Relative Arbitrage: Sharp Time Horizons and Motion…
A lower limit for a neutral black hole size is obtained in the frames of the string gravity model with the second order curvature correction. It is shown that this effect remains when the third order curvature correction is also taken into…
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from…
A general definition of a black hole is given, and general `laws of black-hole dynamics' derived. The definition involves something similar to an apparent horizon, a trapping horizon, defined as a hypersurface foliated by marginal surfaces…
This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
In recent work on black hole entropy in non-perturbative quantum gravity, an action for the black hole sector of the phase space is introduced and (partially) quantized. We give a number of observations on this and related works. In…
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market dynamics given by a multidimensional It\^o's process we…
The Dubins interval problem aims to find the shortest path of bounded curvature between two targets such that the departure angle from the first target and the arrival angle at the second target are constrained to two respective intervals.…
This paper presents a quasi-local method of studying the physics of dynamical black holes in numerical simulations. This is done within the dynamical horizon framework, which extends the earlier work on isolated horizons to time-dependent…
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only…
"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
We obtain approximate analytical solutions of the Einstein equations close to the trapping horizon for a dynamical spherically symmetric black hole in the presence of a minimally coupled self-interacting scalar field. This is made possible…
In this paper, we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds upon neural network based trading schemes, in which the asset allocation at each time point is determined by…
We prove that the symmetric weak GARCH limit is a geometric mean-reverting stochastic volatility process with diffusion determined by kurtosis of physical log returns; this provides an improved fit to implied volatility surfaces. When log…
What are the prices of random variables? In this paper, we define the least-squares prices of coin-flipping games, which are proved to be minimal, positive linear, and arbitrage-free. These prices depend both on a set of games that are…
We numerically calculate the spacetime describing the formation and evaporation of a regular black hole in 2D dilaton gravity. The apparent horizons evaporate smoothly in finite time to form a compact trapped region. We nevertheless see…
As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks…
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily…
We obtain a lower bound for the coarse Ricci curvature of continuous time pure jump Markov processes, with an emphasis on interacting particle systems. Applications to several models are provided, with a detailed study of the herd behavior…