Related papers: Replicating Monotonic Payoffs Without Oracles
We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new…
Monotone inclusions have a wide range of applications, including minimization, saddle-point, and equilibria problems. We introduce new stochastic algorithms, with or without variance reduction, to estimate a root of the expectation of…
A combinatorial simplex algorithm is an instance of the simplex method in which the pivoting depends on combinatorial data only. We show that any algorithm of this kind admits a tropical analogue which can be used to solve mean payoff…
Constant function market makers (CFMMs) such as Uniswap, Balancer, Curve, and mStable, among many others, make up some of the largest decentralized exchanges on Ethereum and other blockchains. Because all transactions are public in current…
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates. We postulate…
In this paper we show that payment computation essentially does not present any obstacle in designing truthful mechanisms, even for multi-parameter domains, and even when we can only call the allocation rule once. We present a general…
We investigate a repeated two-player zero-sum game setting where the column player is also a designer of the system, and has full control on the design of the payoff matrix. In addition, the row player uses a no-regret algorithm to…
This paper studies repeated games where two players play multiple duopolistic games simultaneously (multimarket contact). A key assumption is that each player receives a noisy and private signal about the other's actions (private monitoring…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
We study the problem of finding equilibrium strategies in multi-agent games with incomplete payoff information, where the payoff matrices are only known to the players up to some bounded uncertainty sets. In such games, an ex-post…
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a…
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of infinite variation, as they usually appear in frictionless…
Evolutionary game theory is a powerful mathematical framework to study how intelligent individuals adjust their strategies in collective interactions. It has been widely believed that it is impossible to unilaterally control players'…
We introduce a continuous-order integral analog of the Maclaurin expansion that reconstructs analytic functions from fractional derivative data. The operator integrates over continuous order, replacing the discrete sum of integer…
Market making is a popular trading strategy, which aims to generate profit from the spread between the quotes posted at either side of the market. It has been shown that training market makers (MMs) with adversarial reinforcement learning…
We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework,…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
Submodular maximization with a cardinality constraint can model various problems, and those problems are often very large in practice. For the case where objective functions are monotone, many fast approximation algorithms have been…
It is widely believed that computing payments needed to induce truthful bidding is somehow harder than simply computing the allocation. We show that the opposite is true: creating a randomized truthful mechanism is essentially as easy as a…