Related papers: The Volatility of Returns and Variable Strategies
We introduce the class of pay or play games, which captures scenarios in which each decision maker is faced with a choice between two actions: one with a fixed payoff and an- other with a payoff dependent on others' selected actions. This…
Coevolutionary game dynamics is the result of players that may change their strategies and their network of interaction. For such games, and based on interpreting strategies as configurations, strategy-to-payoff maps can be defined for…
We present results for the so-called `bar-attendance' model of market behavior: $p$ adaptive agents, each possessing $n$ prediction rules chosen randomly from a pool, attempt to attend a bar whose cut-off is $s$. The global attendance…
In this note, we prove the existence of an equilibrium concept, dubbed conditional strategy equilibrium, for non-cooperative games in which a strategy of a player is a function from the other players' actions to her own actions. We study…
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at the expense of the latter. To approach this problem, we begin…
In late May of 2014 I received an email from a colleague introducing to me a non-transitive game developed by Walter Penney. This paper explores this probability game from the perspective of a coin tossing game, and further discusses some…
Inspired by the theory of desirable gambles that is used to model uncertainty in the field of imprecise probabilities, I present a theory of desirable things. Its aim is to model a subject's beliefs about which things are desirable. What…
A generalized model of games is proposed, in which cooperative games and non-cooperative games are special cases. Some games that are neither cooperative nor non-cooperative can be expressed and analyzed. The model is based on relationships…
We consider the general model of zero-sum repeated games (or stochastic games with signals), and assume that one of the players is fully informed and controls the transitions of the state variable. We prove the existence of the uniform…
In the paper it is proven that the two-players turn-based stochastic game "Risk or Safety" has a unique solution. Both players need to play the same strategy if they want to maximize their winning chances. An analytical method based on the…
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate…
In mix-game which is an extension of minority game, there are two groups of agents; group1 plays the majority game, but the group2 plays the minority game. This paper studies the change of the average winnings of agents and volatilities vs.…
We develop an approach to solve Barberis (2012)'s casino gambling model in which a gambler whose preferences are specified by the cumulative prospect theory (CPT) must decide when to stop gambling by a prescribed deadline. We assume that…
We consider a network of coupled agents playing the Prisoner's Dilemma game, in which players are allowed to pick a strategy in the interval [0,1], with 0 corresponding to defection, 1 to cooperation, and intermediate values representing…
We give a criterion under which the expected return on a ticket for certain large lotteries is positive. In this circumstance, we use elementary portfolio analysis to show that an optimal investment strategy includes a very small allocation…
Zero-determinant strategies are memory-one strategies in repeated games which unilaterally enforce linear relations between expected payoffs of players. Recently, the concept of zero-determinant strategies was extended to the class of…
This paper investigates the return-volatility asymmetry of Bitcoin. We find that the cross correlations between return and volatility (squared return) are mostly insignificant on a daily level. In the high-frequency region, we find thata…
We consider the computational complexity of the question whether a certain strategy can be removed from a game by means of iterated elimination of dominated strategies. In particular, we study the influence of different definitions of…
We study an evolutionary game of chance in which the probabilities for different outcomes (e.g., heads or tails) depend on the amount wagered on those outcomes. The game is perhaps the simplest possible probabilistic game in which…
This paper studies the correlations of the average winnings of agents and the volatilities of systems based on mix-game model which is an extension of minority game (MG). In mix-game, there are two groups of agents; group1 plays the…