Related papers: Substitutability, equilibrium transport, and match…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
Trade-offs between accuracy and efficiency pervade law, public health, and other non-computing domains, which have developed policies to guide how to balance the two in conditions of uncertainty. While computer science also commonly studies…
Component substitution has numerous practical applications and constitutes an active research topic. This paper proposes to enrich an existing component-based framework--a model with dynamic reconfigurations making the system evolve--with a…
A large family of diffusive models of transport that has been considered in the past years admits a transformation into the same model in contact with an equilibrium bath. This mapping holds at the full dynamical level, and is independent…
Modelling and simulation of mixed-traffic zones is an important tool for transportation planners to assess safety, efficiency, and human-friendliness of future urban areas. This paper addresses problems of calibration and transferability of…
The problem of arriving at a principled method of pricing goods and services was very satisfactorily solved for conventional goods; however, this solution is not applicable to digital goods. This paper studies pricing of a special class of…
Sets of desirable gambles constitute a quite general type of uncertainty model with an interesting geometrical interpretation. We give a general discussion of such models and their rationality criteria. We study exchangeability assessments…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
Multidimensional combinatorial substitutions are rules that replace symbols by finite patterns of symbols in $\mathbb Z^d$. We focus on the case where the patterns are not necessarily rectangular, which requires a specific description of…
We present functional forms allowing a broader range of analytic solutions to common economic equilibrium problems. These can increase the realism of pen-and-paper solutions or speed large-scale numerical solutions as computational…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
We present a possible kind of generalization of the notion of ordered pairs of cyclic maps and coupled fixed points and its application in modelling of equilibrium in oligopoly markets. We have obtained sufficient conditions for the…
We propose a discrete time formulation of the semi-martingale optimal transport problem based on multi-marginal entropic transport. This approach offers a new way to formulate and solve numerically the calibration problem proposed by [17],…
The use of models, even if efficient, must be accompanied by an understanding at all levels of the process that transforms data (upstream and downstream). Thus, needs increase to define the relationships between individual data and the…
We introduce a notion of substitutability for correspondences and establish a monotone comparative static result, unifying results such as the inverse isotonicity of M-matrices, Berry, Gandhi and Haile's identification of demand systems,…
Many problems give rise to polynomial systems. These systems often have several parameters and we are interested to study how the solutions vary when we change the values for the parameters. Using predictor-corrector methods we track the…
Non-equilibrium steady states are subject to intense investigations but still poorly understood. For instance, the derivation of Fourier law in Hamiltonian systems is a problem that still poses several obstacles. In order to investigate…
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial…
Multi-fidelity models provide a framework for integrating computational models of varying complexity, allowing for accurate predictions while optimizing computational resources. These models are especially beneficial when acquiring…
Duality of linear programming is a standard approach to the classical weighted maximum matching problem. From an economic perspective, the dual variables can be regarded as prices of products and payoffs of buyers in a two-sided matching…