Related papers: Gain-Loss Hedging and Cumulative Prospect Theory
We present a novel variant of decision making based on the mathematical theory of separable Hilbert spaces. This mathematical structure captures the effect of superposition of composite prospects, including many incorporated intentions,…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on…
Learning performance can show non-monotonic behavior. That is, more data does not necessarily lead to better models, even on average. We propose three algorithms that take a supervised learning model and make it perform more monotone. We…
A dual-core waveguide with balanced gain and loss in different arms and with intermodal coupling is considered. The system is not invariant under the conventional $PT$ symmetry but obeys $CPT$ symmetry where an additional spatial inversion…
In decision theory an act is a function from a set of conditions to the set of real numbers. The set of conditions is a partition in some algebra of events. The expected value of an act can be calculated when a probability measure is given.…
We study the problem of selling a resource through an auction mechanism. The winning buyer in turn develops this resource to generate profit. Two forms of payment are considered: charging the winning buyer a one-time payment, or an initial…
Transient stability and critical clearing time (CCT) are important concepts in power system protection and control. This paper explores and compares various learning-based methods for predicting CCT under uncertainties arising from…
Collective behavior is studied in globally coupled maps with distributed nonlinearity. It is shown that the heterogeneity enhances regularity in the collective dynamics. Low-dimensional quasiperiodic motion is often found for the…
We study the possibility of creating a coherent population trapping (CPT) state, involving free atomic and ground molecular condensates, during the process of associating atomic condensate into molecular condensate. We generalize the…
Mutually exclusive decisions have been studied for decades. Many well-known decision theories have been defined to help people either to make rational decisions or to interpret people's behaviors, such as expected utility theory, regret…
Combinatorial Game Theory is a branch of mathematics and theoretical computer science that studies sequential 2-player games with perfect information. Normal play is the convention where a player who cannot move loses. Here, we generalize…
Random utility theory models an agent's preferences on alternatives by drawing a real-valued score on each alternative (typically independently) from a parameterized distribution, and then ranking the alternatives according to scores. A…
An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
For treatment effects - one of the core issues in modern econometric analysis - prediction and estimation are two sides of the same coin. As it turns out, machine learning methods are the tool for generalized prediction models. Combined…
The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting the information embedded in the level, slope and curvature parameters, we develop novel investment strategies that assume short-term…
The coalgebraic modelling of alternating automata and of probabilistic automata has long been obstructed by the absence of distributive laws of the powerset monad over itself, respectively of the powerset monad over the finite distribution…
Aggregating multiple effects is often encountered in large-scale data analysis where the fraction of significant effects is generally small. Many existing methods cannot handle it effectively because of lack of computational accuracy for…
Algebraic homology and cohomology theories for quandles have been studied extensively in recent years. With a given quandle 2(3)-cocycle one can define a state-sum invariant for knotted curves(surfaces). In this paper we introduce another…