Related papers: A Hedonic Index for Collectables Arising from Mode…

We are witnessing the emergence of a new digital art market, the art market 3.0. Blockchain technology has taken on a new sector which is still not well known, Non-Fungible tokens (NFT). In this paper we propose a new methodology to build a…

Notwithstanding almost forty years of efforts, the market for paintings still lacks a widely accepted price index. In this paper, we introduce a simple and intuitive metric to construct such index. Our metric is based on the price of a…

Non-fungible tokens (NFTs) are digital assets stored on a blockchain representing real-world objects such as art or collectibles. An NFT collection comprises numerous tokens; each token can be transacted multiple times. It is a…

In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…

In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…

Travel time derivatives are financial instruments that derive their value from road travel times, serving as an underlying asset that cannot be directly traded. Within the transportation domain, these derivatives are proposed as a more…

An explosion of interest in Non-Fungible Tokens (NFTs) has led to the emergence of vibrant online marketplaces that enable users to buy, sell and create digital assets. Largely considered contractual representations of digital artworks,…

In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…

In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…

We develop empirical models that efficiently process large amounts of unstructured product data (text, images, prices, quantities) to produce accurate hedonic price estimates and derived indices. To achieve this, we generate abstract…

In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…

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…

As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…

Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To…

This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We calculate exponential utility-based indifference prices,…

In recent years, blockchain has gained widespread attention as an emerging technology for decentralization, transparency, and immutability in advancing online activities over public networks. As an essential market process, auctions have…

We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant…

This article introduces the Hedonic Metric (HM) approach as an original method to model the demand for differentiated products. Using this approach, initially, we create an n-dimensional hedonic space based on the characteristic information…

Public blockchains implement a fee mechanism to allocate scarce computational resources across competing transactions. Most existing fee market designs utilize a joint, fungible unit of account (e.g., gas in Ethereum) to price otherwise…

Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…