Related papers: Unihedge -- A decentralized market prediction plat…
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices,…
A distributed, hierarchical, market based approach is introduced to solve the economic dispatch problem. The approach requires only a minimal amount of information to be shared between a central market operator and the end-users. Price…
The rapid proliferation of distributed energy resources (DERs) and the electrification of residential loads offer significant potential for grid flexibility but pose stability challenges under static pricing regimes. Specifically, high…
Decentralized applications (DApps) gained traction in the context of the blockchain technology. Ethereum is currently the public blockchain that backs the largest amount of the existing DApps. Onboarding new users to Ethereum DApps is a…
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
Various probabilistic time series forecasting models have sprung up and shown remarkably good performance. However, the choice of model highly relies on the characteristics of the input time series and the fixed distribution that the model…
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a…
In matching markets such as kidney exchanges and freight exchanges, delayed matching has been shown to improve overall market efficiency. The benefits of delay are highly sensitive to participants' sojourn times and departure behavior, and…
Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are…
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…
Stock trend forecasting, which forecasts stock prices' future trends, plays an essential role in investment. The stocks in a market can share information so that their stock prices are highly correlated. Several methods were recently…
Machine learning methods are widely used for a variety of prediction problems. \emph{Prediction as a service} is a paradigm in which service providers with technological expertise and computational resources may perform predictions for…
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized decentralized spot markets, no equivalent standard has…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
This paper presents a pioneering approach for simulation of economic activity, policy implementation, and pricing of goods in token economies. The paper proposes a formal analysis framework for wealth distribution analysis and simulation of…
Currently cryptocurrencies and Decentralized Finance (DeFi), which enable financial services on public blockchains, represents a new growing trend in finance. In contrast to financial markets, ruled by traditional corporations, DeFi is…
This paper introduces and develops the concept of ``ticketing'', through which atomic broadcasts are orchestrated by nodes in a distributed system. The paper studies different ticketing regimes that allow parallelism, yet prevent slow nodes…