Related papers: Market Definition: A Sensitivity Analysis
Nearly all statistical analyses that inform policy-making are based on imperfect data. As examples, the data may suffer from measurement errors, missing values, sample selection bias, or record linkage errors. Analysts have to decide how to…
South Africa assumes a significant position in the insurance landscape of Africa. The present research based upon qualitative and quantitative analysis, shows that it shows the characteristics of a Complex Adaptive System. In addition, a…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
We study two-sided many-to-one matching markets with transferable utilities, e.g., labor and rental housing markets, in which money can exchange hands between agents, subject to distributional constraints on the set of feasible allocations.…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
The emph{securities market} is the fundamental theoretical framework in economics and finance for resource allocation under uncertainty. Securities serve both to reallocate risk and to disseminate probabilistic information. emph{Complete}…
Most methodologies for materials criticality assessment score supply risk and societal importance. Market-based criteria offer quantitative measures for assessment. Here we develop a statistical approach based on a geologic entropy function…
We present a novel framework for estimation and inference with the broad class of universal approximators. Estimation is based on the decomposition of model predictions into Shapley values. Inference relies on analyzing the bias and…
Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
Large-scale, two-sided matching platforms must find market outcomes that align with user preferences while simultaneously learning these preferences from data. Classical notions of stability (Gale and Shapley, 1962; Shapley and Shubik,…
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…
We propose a unified approach to several problems in Stochastic Portfolio Theory (SPT), which is a framework for equity markets with a large number $d$ of stocks. Our approach combines open markets, where trading is confined to the top $N$…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
Human-generated categorical annotations frequently produce empirical response distributions (soft labels) that reflect ambiguity rather than simple annotator error. We introduce an ambiguity measure that maps a discrete response…
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…