Related papers: On statistical arbitrage under a conditional facto…
Knowing which features of a multivariate time series to measure and when is a key task in medicine, wearables, and robotics. Better acquisition policies can reduce costs while maintaining or even improving the performance of downstream…
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is…
This paper investigates estimation and inference of a Spatial Arbitrage Pricing Theory (SAPT) model that integrates spatial interactions with multi-factor analysis, accommodating both observable and latent factors. Building on the classical…
It has a long tradition to study trust behavior among humans or artificial agents by investigating the trust game. Although previous studies based on evolutionary game theory have revealed that trust and trustworthiness can be promoted if…
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…
State space models contain time-indexed parameters, termed states, as well as static parameters, simply termed parameters. The problem of inferring both static parameters as well as states simultaneously, based on time-indexed observations,…
We propose a sequential optimizing betting strategy in the multi-dimensional bounded forecasting game in the framework of game-theoretic probability of Shafer and Vovk (2001). By studying the asymptotic behavior of its capital process, we…
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily complex hypotheses in a computationally…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long…
This paper studies an asset pricing model in a partially observable market with a large number of heterogeneous agents using the mean field game theory. In this model, we assume that investors can only observe stock prices and must infer…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of…
This paper presents a multi-agent reinforcement learning algorithm to represent strategic bidding behavior in freight transport markets. Using this algorithm, we investigate whether feasible market equilibriums arise without any central…
Strategy evaluation schemes are a crucial factor in any agent-based market model, as they determine the agents' strategy preferences and consequently their behavioral pattern. This study investigates how the strategy evaluation schemes…
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…