Related papers: Bounded arbitrage and nearly rational behavior
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the num\'eraire portfolio under minimal assumptions and for general continuous-time market…
In this paper a finite discrete time market with an arbitrary state space and bid-ask spreads is considered. The notion of an equivalent bid-ask martingale measure (EBAMM) is introduced and the fundamental theorem of asset pricing is proved…
There seems to be an upper limit to predicting the outcome of matches in (semi-)professional sports. Recent work has proposed that this is due to chance and attempts have been made to simulate the distribution of win percentages to identify…
We investigate the implementation of reduced-form allocation probabilities in a two-person bargaining problem without side payments, where the agents have to select one alternative from a finite set of social alternatives. We provide a…
We give an algorithm for solving stochastic parity games with almost-sure winning conditions on {\it lossy channel systems}, under the constraint that both players are restricted to finite-memory strategies. First, we describe a general…
An inconsistent knowledge base can be abstracted as a set of arguments and a defeat relation among them. There can be more than one consistent way to evaluate such an argumentation graph. Collective argument evaluation is the problem of…
We study the almost-sure termination problem for probabilistic programs. First, we show that supermartingales with lower bounds on conditional absolute difference provide a sound approach for the almost-sure termination problem. Moreover,…
We establish bounds on the probability that two different agents, who share an initial opinion expressed as a probability distribution on an abstract probability space, given two different sources of information, may come to radically…
Scientific explanation often requires inferring maximally predictive features from a given data set. Unfortunately, the collection of minimal maximally predictive features for most stochastic processes is uncountably infinite. In such…
A fractional binary market is an approximating sequence of binary models for the fractional Black-Scholes model, which Sottinen constructed by giving an analogue of the Donsker's theorem. In a binary market the arbitrage condition can be…
We give a new formulation of the relative arbitrage problem from stochastic portfolio theory that asks for a time horizon beyond which arbitrage relative to the market exists in all ``sufficiently volatile'' markets. In our formulation,…
In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to outperform a benchmark portfolio over a finite horizon. When the market is diverse and sufficiently volatile, and the benchmark is the market…
The bounded confidence model of opinion dynamics, introduced by Deffuant et al, is a stochastic model for the evolution of continuous-valued opinions within a finite group of peers. We prove that, as time goes to infinity, the opinions…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
A game has approximate equilibria if for every $\epsilon >0$ there is an $\epsilon$-equilibrium. We show that there is a stochastic game that lacks approximate equilibria. This game has finitely many players and actions, their payoffs are…
McFadden's random-utility model of multinomial choice has long been the workhorse of applied research. We establish shape-restrictions under which multinomial choice-probability functions can be rationalized via random-utility models with…
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper "Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing" by B. Wong and C.C. Heyde (Stochastics, 2010) in the…
An important goal of empirical demand analysis is choice and welfare prediction on counterfactual budget sets arising from potential policy-interventions. Such predictions are more credible when made without arbitrary…
In two-player finite-state stochastic games of partial observation on graphs, in every state of the graph, the players simultaneously choose an action, and their joint actions determine a probability distribution over the successor states.…