Related papers: Large Platonic Markets with Delays
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…
Recent deployments of large language models (LLMs) as autonomous trading agents raise questions about whether financial decision-making competence generalizes beyond specific market patterns and how it should be trained and evaluated in…
We provide equivalence of numerous no-free-lunch type conditions for financial markets where the asset prices are modeled as exponential Levy processes, under possible convex constraints in the use of investment strategies. The general…
The mean objective of this paper is to derive an explicit formula for a price of an European option associated to the underlying delayed stock price which follows a linear differential equation with a general delay in the drift term. We use…
Recent years have seen a great increase in the capacity and parallel processing power of data centers and cloud services. To fully utilize the said distributed systems, optimal load balancing for parallel queuing architectures must be…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure-…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
Full models of the world require complex knowledge of immense detail. While pre-trained large models have been hypothesized to contain similar knowledge due to extensive pre-training on vast amounts of internet scale data, using them…
The $n$-step delayed sharing information structure is investigated. This information structure comprises of $K$ controllers that share their information with a delay of $n$ time steps. This information structure is a link between the…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
Recent years have witnessed the surge of asynchronous parallel (async-parallel) iterative algorithms due to problems involving very large-scale data and a large number of decision variables. Because of asynchrony, the iterates are computed…
The dueling bandit problem, an essential variation of the traditional multi-armed bandit problem, has become significantly prominent recently due to its broad applications in online advertising, recommendation systems, information…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
The stability and convergence of the neural networks are the fundamental characteristics in the Hopfield type networks. Since time delay is ubiquitous in most physical and biological systems, more attention is being made for the delayed…
This paper introduces an algorithm for discovering implicit and delayed causal relations between events observed by a robot at arbitrary times, with the objective of improving data-efficiency and interpretability of model-based…
We study how information perturbations can destabilize two-sided matching markets. In our model, agents arrive on the market over two periods, while agents in the first period do not know the types of those arriving later. Agents already…
The imbalance costs incurred by a stochastic power producer due to forecast production errors have a significant impact on its total profit and therefore, such an impact needs to be taken into account when evaluating investment decisions.…
A modification to the ${\cal L}_1$ control framework for uncertain systems with actuator delay is presented. Specifically, a time delay is introduced in the control input of the state predictor to compensate for the destabilizing effect of…