Related papers: The Volatility of Returns and Variable Strategies

The paper is concerned with the dependence of the solution of the deterministic mean field game on the initial distribution of players. The main object of study is the mapping which assigns to the initial time and the initial distribution…

We study graphs and two-player games in which rewards are assigned to states, and the goal of the players is to satisfy or dissatisfy certain property of the generated outcome, given as a mean payoff property. Since the notion of…

A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is generated by the temporary equilibrium between demand and supply,…

This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation…

This paper studies the relations between agent performances and their intellective abilities in mix-games in which there are two groups of agents: one group plays a minority game, and the other plays a majority game. These two groups have…

A new proof is given for the formula for the expected return time of a random walk on a graph. This proof makes use of known relationships between electric resistance and random walks.

The introduction of transaction costs into the theory of option pricing could lead not only to the change of return for options, but also to the change of the volatility. On the base of assumption of the portfolio analysis, a new equation…

Graph games of infinite length are a natural model for open reactive processes: one player represents the controller, trying to ensure a given specification, and the other represents a hostile environment. The evolution of the system…

We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for…

We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk (2001). We show that by a countable mixture of these strategies, a gambler or an investor can exploit…

This article discusses the application of stochastic intervention to find the optimal treatment distribution yielding a high value of expected potential outcome under the setting where the number of treatments is allowed to vary with $n$.…

The allocation of resources plays an important role in the completion of system objectives and tasks, especially in the presence of strategic adversaries. Optimal allocation strategies are becoming increasingly more complex, given that…

We study the relation between the trading behavior of agents and volatility in toy markets of adaptive inductively rational agents. We show that excess volatility, in such simplified markets, arises as a consequence of {\em i)} the neglect…

Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…

We study the relationship between performance and practice by analyzing the activity of many players of a casual online game. We find significant heterogeneity in the improvement of player performance, given by score, and address this by…

We study the capital growth in gambling with (and without) side information and memory effects. We derive several equalities for gambling, which are of similar form to the Jarzynski equality and its extension to systems with feedback…

We give elementary examples within a framework for studying decisions under uncertainty where probabilities are only roughly known. The framework, in gambling terms, is that the size of a bet is proportional to the gambler's perceived…

Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility. The paper…

We consider game theory from the perspective of quantum algorithms. Strategies in classical game theory are either pure (deterministic) or mixed (probabilistic). We introduce these basic ideas in the context of a simple example, closely…

The analysis of equilibrium points in random games has been of great interest in evolutionary game theory, with important implications for understanding of complexity in a dynamical system, such as its behavioural, cultural or biological…