Related papers: Replicating Monotonic Payoffs Without Oracles
We study a simple adaptive model in the framework of an N -player normal form game. The model consists of a repeated game where the players only know their own action space and their own payoff scored at each stage, not those of the other…
In an incomplete financial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any financial asset a dynamic limit order book, taking into account both the dynamics of basic assets…
This work addresses fair allocation of indivisible items in settings wherein it is feasible to create copies of resources or dispose of tasks. We establish that exact maximin share (MMS) fairness can be achieved via limited duplication of…
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return…
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary…
An elegant characterization of the complexity of constraint satisfaction problems has emerged in the form of the the algebraic dichotomy conjecture of [BKJ00]. Roughly speaking, the characterization asserts that a CSP {\Lambda} is tractable…
We construct prior-free auctions with constant-factor approximation guarantees with ordered bidders, in both unlimited and limited supply settings. We compare the expected revenue of our auctions on a bid vector to the monotone price…
Liquidity providers are essential for the function of decentralized exchanges to ensure liquidity takers can be guaranteed a counterparty for their trades. However, liquidity providers investing in liquidity pools face many risks, the most…
When two players are engaged in a repeated game with unknown payoff matrices, they may use single-agent multi-armed bandit algorithms to choose the actions independent of each other. We show that when the players use Thompson sampling, the…
In this paper we explore the usage of deep reinforcement learning algorithms to automatically generate consistently profitable, robust, uncorrelated trading signals in any general financial market. In order to do this, we present a novel…
We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded and…
In this work, we present an application of the probabilistic weak formulation of mean field games (MFG) for modeling liquidity pools in a constant product automated market maker (AMM) protocol in the context of decentralized finance. Our…
Automated Market Makers (AMMs) are an integral component of the decentralized finance (DeFi) ecosystem, as they allow users to exchange crypto-assets without the need for trusted authorities or external price oracles. Although these…
Automated market makers (AMMs) have emerged as the dominant market mechanism for trading on decentralized exchanges implemented on blockchains. This paper presents a single mechanism that targets two important unsolved problems for AMMs:…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
When agents trade in a Duality-based Cost Function prediction market, they collectively implement the learning algorithm Follow-The-Regularized-Leader. We ask whether other learning algorithms could be used to inspire the design of…
We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential…
I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will…
In this paper, we propose a provably correct algorithm for convolutive nonnegative matrix factorization (CNMF) under separability assumptions. CNMF is a convolutive variant of nonnegative matrix factorization (NMF), which functions as an…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…