Related papers: Oligopoly Dynamics
Flexible demand response (DR) resources can be leveraged to accommodate the stochasticity of some distributed energy resources. This paper develops an online learning approach that continuously estimates price sensitivities of residential…
This work addresses the problem of offline safe imitation learning (IL), where the goal is to learn safe and reward-maximizing policies from demonstrations that do not have per-timestep safety cost or reward information. In many real-world…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
Collaborative learning techniques have significantly advanced in recent years, enabling private model training across multiple organizations. Despite this opportunity, firms face a dilemma when considering data sharing with competitors --…
Catastrophic forgetting is not an engineering failure. It is a mathematical consequence of storing knowledge as global parameter superposition. Existing methods, such as regularization, replay, and frozen subnetworks, add external…
We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…
Firms increasingly rely on dynamic pricing to respond to evolving customer demand, yet in many applications they observe only the revenue generated by a single posted price in each period. At the same time, market conditions may shift…
We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example, stock market data are analyzed for which the dynamical…
Bimodal, stochastic environments present a challenge to typical Reinforcement Learning problems. This problem is one that is surprisingly common in real world applications, being particularly applicable to pricing problems. In this paper we…
Stackelberg games are a classic example of bilevel optimization problems, which are often encountered in game theory and economics. These are complex problems with a hierarchical structure, where one optimization task is nested within the…
The emerging field of Reinforcement Learning (RL) has led to impressive results in varied domains like strategy games, robotics, etc. This handout aims to give a simple introduction to RL from control perspective and discuss three possible…
Learning is a process wherein a learning agent enhances its performance through exposure of experience or data. Throughout this journey, the agent may encounter diverse learning environments. For example, data may be presented to the leaner…
Forecasting the evolution of contagion dynamics is still an open problem to which mechanistic models only offer a partial answer. To remain mathematically or computationally tractable, these models must rely on simplifying assumptions,…
In these four lectures I describe basic ideas and methods applicable to both classical and quantum systems displaying slow relaxation and non-equilibrium dynamics. The first half of these notes considers classical systems, and the second…
This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality…
In this dissertation we study statistical and online learning problems from an optimization viewpoint.The dissertation is divided into two parts : I. We first consider the question of learnability for statistical learning problems in the…
Continual learning is the problem of learning and retaining knowledge through time over multiple tasks and environments. Research has primarily focused on the incremental classification setting, where new tasks/classes are added at discrete…
Short-term electricity markets are becoming more relevant due to less-predictable renewable energy sources, attracting considerable attention from the industry. The balancing market is the closest to real-time and the most volatile among…
Opinions and beliefs determine the evolution of social systems. This is of particular interest in finance, as the increasing complexity of financial systems is coupled with information overload. Opinion formation, therefore, is not always…
In-context learning (ICL) is a powerful ability that emerges in transformer models, enabling them to learn from context without weight updates. Recent work has established emergent ICL as a transient phenomenon that can sometimes disappear…