Related papers: Large Platonic Markets with Delays
This paper presents a realistic simulated stock market where large language models (LLMs) act as heterogeneous competing trading agents. The open-source framework incorporates a persistent order book with market and limit orders, partial…
In this paper, we study joint queue-aware and channel-aware scheduling of arbitrarily bursty traffic over multi-state time-varying channels, where the bursty packet arrival in the network layer, the backlogged queue in the data link layer,…
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…
We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…
The paper deals with the theoretical analysis of a logistic system composed of at least two elements with distributed parameters. It has been shown that such a system may generate specific oscillations in spite of the fact that the…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…
The solvability of a delay differential equation arising in the construction of quadratic cost functionals, i.e. Lyapunov functionals, for a linear time-delay system with a constant and a distributed delay is investigated. We present a…
Bandit algorithms are guaranteed to solve diverse sequential decision-making problems, provided that a sufficient exploration budget is available. However, learning from scratch is often too costly for personalization tasks where a single…
In this letter we introduce a class of delayed kinetic systems derived from mass action type reaction network models. We define the time delayed positive stoichiometric compatibility classes and the notion of complex balanced time delayed…
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the…
Recent advances have resulted in queue-based algorithms for medium access control which operate in a distributed fashion, and yet achieve the optimal throughput performance of centralized scheduling algorithms. However, fundamental…
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion…
Discrete-time systems under aperiodic sampling may serve as a modeling abstraction for a multitude of problems arising in cyber-physical and networked control systems. Recently, model- and data-based stability conditions for such systems…
Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attention in the literature. Using ELG as the performance metric, we…
We consider consensus of multi-agent systems as a dual problem to Markov processes. Based on an exchange of relevant notions and results between the two fields, we present a uniform framework which admits the introduction and treatment of…
Large language models are reshaping quantitative investing by turning unstructured financial information into evidence-grounded signals and executable decisions. This survey synthesizes research with a focus on equity return prediction and…
A Hidden Markov Model for intraday momentum trading is presented which specifies a latent momentum state responsible for generating the observed securities' noisy returns. Existing momentum trading models suffer from time-lagging caused by…
In the context of large financial markets we formulate the notion of \emph{no asymptotic free lunch with vanishing risk} (NAFLVR), under which we can prove a version of the fundamental theorem of asset pricing (FTAP) in markets with an…
In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling…