Related papers: The Volatility of Returns and Variable Strategies

We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…

We carry out a game-theoretic analysis of the recursive game "Guts," a variant of poker featuring repeated play with possibly growing stakes. An interesting aspect of such games is the need to account for funds lost to all players if…

Courses on the mathematics of gambling have been offered by a number of colleges and universities, and for a number of reasons. In the past 15 years, at least seven potential textbooks for such a course have been published. In this article…

The paper studies one-shot two-player games with non-Bayesian uncertainty. The players have an attitude that ranges from optimism to pessimism in the face of uncertainty. Given the attitudes, each player forms a belief about the set of…

Variational inequalities are modelling tools used to capture a variety of decision-making problems arising in mathematical optimization, operations research, game theory. The scenario approach is a set of techniques developed to tackle…

The purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative finance, in order to assess the…

From the gambling logs of an online lottery game we extract the probability distribution of various quantities (e.g., bet value, total pool size, waiting time between successive gambles) as well as related correlation coefficients. We view…

We derive an explicit formula for the probability of ruin of a gambler playing against an infinitely-rich adversary, when the games have payoff given by a general integer-valued probability distribution.

We study variants of a stochastic game inspired by backgammon where players may propose to double the stake, with the game state dictated by a one-dimensional random walk. Our variants allow for different numbers of proposals and different…

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…

In simple card games, cards are dealt one at a time and the player guesses each card sequentially. We study problems where feedback (e.g. correct/incorrect) is given after each guess. For decks with repeated values (as in blackjack where…

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is…

In many social dilemmas, individuals tend to generate a situation with low payoffs instead of a system optimum ("tragedy of the commons"). Is the routing of traffic a similar problem? In order to address this question, we present…

In Major League Baseball, strategy and planning are major factors in determining the outcome of a game. Previous studies have aided this by building machine learning models for predicting the winning team of any given game. We extend this…

Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…

We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…

I give an analysis of the simplest non-commutative quantum game, which is a gambling game much like Heads or Tails. The quantum gamespace displays strategies which are not interpretable through direct-product strategies of the two players.…

Economic ensembles can be modeled as networks of interacting agents whose be-haviors are described in terms of game theory. The evolutionary paradigm has been applied to two-person games to discover strategies in this context.…