Related papers: Market Definition: A Sensitivity Analysis
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
The field of information retrieval often works with limited and noisy data in an attempt to classify documents into subjective categories, e.g., relevance, sentiment and controversy. We typically quantify a notion of agreement to understand…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
The rise of the machine learning (ML) model economy has intertwined markets for training datasets and pre-trained models. However, most pricing approaches still separate data and model transactions or rely on broker-centric pipelines that…
Classifications organize entities into categories that identify similarities within a category and discern dissimilarities among categories, and they powerfully classify information in support of analysis. We propose a new classification…
We provide closed-form market equilibrium formula consolidating informational imperfections and investors beliefs. Based on Merton's model, we characterize the equilibrium expected excess returns vector with incomplete information. We then…
We consider a competitive market with risk-averse participants. We assume that agents' risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental theorems of welfare economics have long established the…
We present a novel framework to learn functions that estimate decisions of sellers and buyers simultaneously in an oligopoly market for a price-sensitive product. In this setting, the aim of the seller network is to come up with a price for…
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
Many interesting problems in the Internet industry can be framed as a two-sided marketplace problem. Examples include search applications and recommender systems showing people, jobs, movies, products, restaurants, etc. Incorporating…
We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a…
Statistical inference under market equilibrium effects has attracted increasing attention recently. In this paper we focus on the specific case of linear Fisher markets. They have been widely use in fair resource allocation of food/blood…
Energy forecasting has attracted enormous attention over the last few decades, with novel proposals related to the use of heterogeneous data sources, probabilistic forecasting, online learn-ing, etc. A key aspect that emerged is that…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of this paper is to investigate passive market impact by…
We propose a new statistical estimation framework for a large family of global sensitivity analysis indices. Our approach is based on rank statistics and uses an empirical correlation coefficient recently introduced by Chatterjee [9]. We…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk…