Related papers: Consistency between transitive relations and betwe…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
A dependent theory is a (first order complete theory) T which does not have the independence property. A main result here is: if we expand a model of T by the traces on it of sets definable in a bigger model then we preserve its being…
In [2] the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction costs. In this paper, we investigate the notion of stickiness…
R. Shorten, F. Wirth, O. Mason, K. Wulff and C. King have asked whether a linear switched system is guaranteed to be globally uniformly stable under arbitrary switching if it is known that every trajectory induced by a periodic switching…
Starting from a Markov chain with a finite alphabet, we consider the chain obtained when all but one symbol are undistinguishable for the practitioner. We study necessary and sufficient conditions for this chain to have continuous…
We extend Berge's Maximum Theorem to allow for incomplete preferences. We first provide a simple version of the Maximum Theorem for convex feasible sets and a fixed preference. Then, we show that if, in addition to the traditional…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
Commutative totally ordered monoids abound, number systems for example. When the monoid is not assumed commutative, one may be hard pressed to find an example. One suggested by Professor Orr Shalit are the countable ordinals with addition.…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
In this paper, several results concerning attraction and asymptotic stability in the large of nonlinear ordinary differential equations are presented. The main result is very simple to apply yielding a sufficient condition under which the…
Consider a family of graphs having a fixed girth and a large size. We give an optimal lower asymptotic bound on the number of even cycles of any constant length, as the order of the graphs tends to infinity.
A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage…
We show that the finite satisfiability problem for the unary negation fragment with arbitrary number of transitive relations is decidable and 2-ExpTime-complete. Our result actually holds for a more general setting in which one can require…
The congruence orbit of a matrix has a natural connection with the linear complementarity problem on simplicial cones formulated for the matrix. In terms of the two approaches -- the congruence orbit and the family of all simplicial cones…
We formalize an allocation model under ordinal preferences that is more general than the well-studied Shapley-Scarf housing market. In our model, the agents do not just care which house or resource they get but also care about who gets…
The main results of this note extend a theorem of Kesten for symmetric random walks on discrete groups to group extensions of topological Markov chains. In contrast to the result in probability theory, there is a notable asymmetry in the…
A nondecreasing sequence of positive integers is $(\alpha,\beta)$-Conolly, or Conolly-like for short, if for every positive integer $m$ the number of times that $m$ occurs in the sequence is $\alpha + \beta r_m$, where $r_m$ is $1$ plus the…
We study discrete-time dynamical systems that switch between different evolution rules based on thresholds that themselves adapt over time. Specifically, we analyze the coupled recursion $a_{n+1} = f(a_n)$ if $a_n \leq c_n$ and $a_{n+1} =…
We consider an occupation market in which preferences of members are treated as non linear general increasing functions. The arrangement of members is separated into two non over-lapping sets, set of workers and set of firms. We consider…
Some aspects of basic category theory are developed in a finitely complete category $\C$, endowed with two factorization systems which determine the same discrete objects and are linked by a simple reciprocal stability law. Resting on this…