Related papers: Triangle Fees
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
The field of learning-augmented algorithms has gained significant attention in recent years. These algorithms, using potentially inaccurate predictions, must exhibit three key properties: consistency, robustness, and smoothness. In…
This paper is the first attempt to formalize a new field of economics; studding the Intangibles Goods available on the Internet. We are taking advantage of the digital world's specific rules, in particular the zero marginal cost, to propose…
Switches are operations which make local changes to the edges of a graph, usually with the aim of preserving the vertex degrees. We study a restricted set of switches, called triangle switches. Each triangle switch creates or deletes at…
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an…
Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses. We study how parties can choose a mutually preferred first-loss scheme in a…
"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement. Prices…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
In this paper, we examine the biases that arise when firms run A/B tests on continuous parameters to estimate global treatment effects on performance metrics of interest; we particularly focus on price experiments to measure the price…
We consider a social choice setting in which agents and alternatives are represented by points in a metric space, and the cost of an agent for an alternative is the distance between the corresponding points in the space. The goal is to…
Advertising options have been recently studied as a special type of guaranteed contracts in online advertising, which are an alternative sales mechanism to real-time auctions. An advertising option is a contract which gives its buyer a…
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…
Regularization is a well-established technique in machine learning (ML) to achieve an optimal bias-variance trade-off which in turn reduces model complexity and enhances explainability. To this end, some hyper-parameters must be tuned,…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound…
The notion of fractional minimal rank of a partial matrix is introduced, a quantity that lies between the triangular minimal rank and the minimal rank of a partial matrix. The fractional minimal rank of partial matrices whose bipartite…
Off-chain transaction channels represent one of the leading techniques to scale the transaction throughput in cryptocurrencies such as Bitcoin. They allow multiple agents to route payments through one another. So far, the topology and…
We investigate online pricing in two-sided markets where a platform repeatedly posts prices based on binary accept/reject feedback to maximize gains-from-trade (GFT) or profit. We characterize the regret achievable across three mechanism…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
The network pricing problem (NPP) is a bilevel problem, where the leader optimizes its revenue by deciding on the prices of certain arcs in a graph, while expecting the followers (also known as the commodities) to choose a shortest path…