Related papers: Path-dependent Kyle equilibrium model
The paper provides consistent mathematical framework for seminal Tiebout free-mobility model (1956). Our setting supports continuum of consumers with multidimensional preferences and finite number of strategic public good providers. We…
In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under…
Inferring the potential consequences of an unobserved event is a fundamental scientific question. To this end, Pearl's celebrated do-calculus provides a set of inference rules to derive an interventional probability from an observational…
We study auction design within the widely acclaimed model of interdependent values, introduced by Milgrom and Weber [1982]. In this model, every bidder $i$ has a private signal $s_i$ for the item for sale, and a public valuation function…
We propose a simple statistical-physics-inspired model for the effect of intrinsic fluctuations on supply and demand in markets. The model consists of agents that trade in two types of goods of which the total number is separately…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
We define the model of an abstract economy with private information and a countable set of actions. We generalize the H. Yu and Z. Zhang's model (2007), considering that each agent is characterised by a preference correspondence instead of…
We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…
Constructing a discrete model like a cellular automaton is a powerful method for understanding various dynamical systems. However, the relationship between the discrete model and its continuous analogue is, in general, nontrivial. As a…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained by means of PDE arguments, in a Markovian setting and under…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
We revisit the path integral description of quantum tunneling and lay the groundwork for its generalization to excites states through real-time path integral techniques. For clarity, we focus on the simple toy model of a point particle in a…
In this paper we derive semi-closed form prices of barrier (perhaps, time-dependent) options for the Hull-White model, ie., where the underlying follows a time-dependent OU process with a mean-reverting drift. Our approach is similar to…
We propose a generalized Dicke model which supports a quantum tricritical point. We map out the phase diagram and investigate the critical behaviors of the model through exact low-energy effective Hamiltonian in the thermodynamic limit. As…
A path integral formalism for non-equilibrium systems is proposed based on a manifold of quasi-equilibrium densities. A generalized Boltzmann principle is used to weight manifold paths with the exponential of minus the information…