Related papers: Constrained Trading Networks
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a…
Many real-world networks, like the Internet, are not the result of central design but instead the outcome of the interaction of local agents who are selfishly optimizing for their individual utility. The famous Network Creation Game…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
We study an economic model where agents trade a variety of products by using one of three competing rules: "need", "greed" and "noise". We find that the optimal strategy for any agent depends on both product composition in the overall…
In the paper we analyse dependence structures among international trade flows of major conventional weapons from 1952 to 2016. We employ a Network Disturbance Model commonly used in inferential network analysis and spatial econometrics. The…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
Demand response provides utilities with a mechanism to share with end users the stochasticity resulting from the use of renewable sources. Pricing is accordingly used to reflect energy availability, to allocate such a limited resource to…
Rapid growth of large loads led by data centers is straining grid capacity. These loads increasingly accept curtailment risk through non-firm interconnection agreements to gain faster grid access, expanding the pool of consumers subject to…
This article presents a set of tools for the modeling of a spatial allocation problem in a large geographic market and gives examples of applications. In our settings, the market is described by a network that maps the cost of travel…
In this study, we leverage powerful non-linear machine learning methods to identify the characteristics of trades that contain valuable information. First, we demonstrate the effectiveness of our optimized neural network predictor in…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We discuss price competition when positive network effects are the only other factor in consumption choices. We show that partitioning consumers into two groups creates a rich enough interaction structure to induce negative marginal demand…
This paper explores the relationships between migration and trade using a complex-network approach. We show that: (i) both weighted and binary versions of the networks of international migration and trade are strongly correlated; (ii) such…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
We study the classic principal-agent model when the signal observed by the principal is chosen by the agent. We fully characterize the optimal information structure from an agent's perspective in a general moral hazard setting with limited…
Two-sided matching markets, environments in which two disjoint groups of agents seek to partner with one another, arise in several contexts. In static, centralized markets where agents know their preferences, standard algorithms can yield a…
The complementarity and substitutability between products are essential concepts in retail and marketing. Qualitatively, two products are said to be substitutable if a customer can replace one product by the other, while they are…
Exploring complex adaptive financial trading environments through multi-agent based simulation methods presents an innovative approach within the realm of quantitative finance. Despite the dominance of multi-agent reinforcement learning…