Related papers: Parameterised-Response Zero-Intelligence Traders
A unit volume zero intelligence (ZI) model is defined and the distribution of its L1 process is recursively described. Further, a generalized ZI (GZI) model allowing non-unit market orders, shifts of quotes and general in-spread events is…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
We consider a dynamic pricing problem for repeated contextual second-price auctions with multiple strategic buyers who aim to maximize their long-term time discounted utility. The seller has limited information on buyers' overall demand…
Data grid replication is an effective method to achieve efficient and fault tolerant data access while reducing access latency and bandwidth consumption in grids. Since we have storage limitation, a replica should be created in the best…
We consider the fundamental scenario where a single item is to be sold to one of two agents. Both agents draw their valuation for the item from the same probability distribution. However, only one of them submits a bid to the mechanism. The…
Devising models of the limit order book that realistically reproduce the market response to exogenous trades is extremely challenging and fundamental in order to test trading strategies. We propose a novel explainable model for small tick…
Pair trading is a market-neutral quantitative trading strategy that exploits price anomalies between two correlated assets. By taking simultaneous long and short positions, it generates profits based on relative price movements, independent…
Prediction markets are powerful mechanisms for information aggregation, but existing designs are optimized for single-event contracts. In practice, traders frequently express beliefs about joint outcomes - through parlays in sports,…
Contextual dynamic pricing aims to set personalized prices based on sequential interactions with customers. At each time period, a customer who is interested in purchasing a product comes to the platform. The customer's valuation for the…
We study Proportional Response Dynamics (PRD) in linear Fisher markets where participants act asynchronously. We model this scenario as a sequential process in which in every step, an adversary selects a subset of the players that will…
In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or…
In the paper, a statistical procedure for estimating the parameters of zero intelligence models by means of tick-by-tick quote (L1) data is proposed. A large class of existing zero intelligence models is reviewed. It is shown that all those…
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…
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the…
We study a novel class of algorithms for solving model-free feedback optimization problems in dynamical systems. The key novelty is the introduction of \emph{persistent resetting learning integrators} (PRLI), which are integrators that are…
Demand response (DR) has been demonstrated to be an effective method for reducing peak load and mitigating uncertainties on both the supply and demand sides of the electricity market. One critical question for DR research is how to…
In this study, we propose a fuzzy system for conducting short-term transactions in the forex market. The system is designed to enhance common strategies in the forex market using fuzzy logic, thereby improving the accuracy of transactions.…
On markets with receding prices, artificial noise traders may consider alternatives to buy-and-hold. By simulating variations of the Parrondo strategy, using real data from the Swedish stock market, we produce first indications of a…
Count data with an excessive number of zeros frequently arise in fields such as economics, medicine, and public health. Traditional count models often fail to adequately handle such data, especially when the relationship between the…
The population and capital dynamics of three stylized investment systems are mathematically described using discrete-time difference equations with closed-form solutions. The models share a common capital budget equation but differ in their…