Related papers: Market Definition: A Sensitivity Analysis
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
Statistical uncertainty of different filtration techniques for market network analysis is studied. Two measures of statistical uncertainty are discussed. One is based on conditional risk for multiple decision statistical procedures and…
Reliability-oriented sensitivity analysis aims at combining both reliability and sensitivity analyses by quantifying the influence of each input variable of a numerical model on a quantity of interest related to its failure. In particular,…
The air transportation market is highly competitive and dynamic. Airlines often form alliances to expand their network reach, improve operational efficiency, and enhance customer experience. However, the impact of these alliances on market…
We study two questions related to competition on the OTC CDS market using data collected as part of the EMIR regulation. First, we study the competition between central counterparties through collateral requirements. We present models that…
With the increasing complexity of collaboration among various social entities and user demands, the factors affecting the stable development of the data service market are also growing. These factors include the widespread dissemination of…
In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I…
Computing market equilibria is an important practical problem for market design, for example in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every…
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders.…
Decision circuits have been developed to perform efficient evaluation of influence diagrams [Bhattacharjya and Shachter, 2007], building on the advances in arithmetic circuits for belief network inference [Darwiche,2003]. In the process of…
The objective of this paper is to initiate a qualitative analysis of dynamic flow in traffic networks by using the competitive equilibrium model of multiple market systems. A network is modeled as a dynamic graph where routes (edges) are…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
We present a formal framework for the aggregation of financial markets mediated by arbitrage. Our main tool is to characterize markets via utility functions and to employ a one-to-one correspondence to limit order book states. Inspired by…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
A method for aggregation of expert estimates in small groups is proposed. The method is based on combinatorial approach to decomposition of pair-wise comparison matrices and to processing of expert data. It also uses the basic principles of…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller…
Prediction markets are used in real life to predict outcomes of interest such as presidential elections. This paper presents a mathematical theory of artificial prediction markets for supervised learning of conditional probability…