Related papers: A Bayesian viewpoint on the price formation proces…
Preferential Bayesian optimization allows optimization of objectives that are either expensive or difficult to measure directly, by relying on a minimal number of comparative evaluations done by a human expert. Generating candidate…
When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors…
Although machine learning tasks are highly sensitive to the quality of input data, relevant datasets can often be challenging for firms to acquire, especially when held privately by a variety of owners. For instance, if these owners are…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…
In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the price from the dynamics of the flow of market orders. For…
The prediction of financial markets is a challenging yet important task. In modern electronically-driven markets, traditional time-series econometric methods often appear incapable of capturing the true complexity of the multi-level…
We develop a model where firms determine the price at which they sell their differentiable goods, the volume that they produce, and the inputs (types and amounts) that they purchase from other firms. A steady-state production network…
In this paper, we introduce a parametrized family of prices derived from the Maximum Entropy Principle. The price is obtained from the distribution that minimizes bias, given the bid and ask volume imbalance at the top of the order book.…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
In this paper, we present a Bayesian view on model-based reinforcement learning. We use expert knowledge to impose structure on the transition model and present an efficient learning scheme based on variational inference. This scheme is…
Power grids are moving towards 100% renewable energy source bulk power grids, and the overall dynamics of power system operations and electricity markets are changing. The electricity markets are not only dispatching resources economically…
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defined over a class of plausible predictive models. After…
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity,…
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…
We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional L\'evy random bridge over a random point field, our framework relates the…
This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to understand the interactions of the different aspects within…
We propose a simple model for the behaviour of longterm investors on a stock market, consisting of three particles, which represent the current price of the stock and the opinion of the buyers, respectively sellers, about the right trading…
A long-lived Bayesian agent observes costly signals of a time-varying state. He chooses the signals' precisions sequentially, balancing their costs and marginal informativeness. I compare the optimal myopic and forward-looking precisions…