Related papers: Large Platonic Markets with Delays
The existence of forbidden patterns, i.e., certain missing sequences in a given time series, is a recently proposed instrument of potential application in the study of time series. Forbidden patterns are related to the permutation entropy,…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
A challenging category of robotics problems arises when sensing incurs substantial costs. This paper examines settings in which a robot wishes to limit its observations of state, for instance, motivated by specific considerations of energy…
Latent reasoning offers a computation-efficient alternative to Chain-of-Thought but often suffers from performance degradation due to distributional misalignment and ambiguous chain definitions. Ideally, latent reasoning should function as…
This paper provides an alternative approach referred to as pseudo-predictor feedback (PPF) for stabilization of linear systems with multiple input delays. Differently from the traditional predictor feedback which is from the model reduction…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
The present paper is mainly aimed at introducing a novel notion of stability of nonlinear time-delay systems called Rational Stability. According to the Lyapunov-type, various sufficient conditions for rational stability are reached. Under…
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible…
Delays in biological systems may be used to model events for which the underlying dynamics cannot be precisely observed. Mathematical modeling of biological systems with delays is usually based on Delay Differential Equations (DDEs), a kind…
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we consider only local linear market impact. We study the…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
We consider networks of coupled maps where the connections between units involve time delays. We show that, similar to the undelayed case, the synchronization of the network depends on the connection topology, characterized by the spectrum…
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…
This paper focuses on the analysis of real-time non preemptive multiprocessor scheduling with precedence and several latency constraints. It aims to specify a schedulability condition which enables a designer to check a priori -without…
We establish existence of Predictable Forward Performance Processes (PFPPs) in complete markets, which has been previously shown only in the binomial setting. Our market model can be a discrete-time or a continuous-time model, and the…
Sampling arises simultaneously with input and output delays in networked control systems. When the delay is left uncompensated, the sampling period is generally required to be sufficiently small, the delay sufficiently short, and, for…
We develop an approximate theoretical method to study discrete stochastic birth and death models that include a delay time. We analyze the effect of the delay in the fluctuations of the system and obtain that it can qualitatively alter…