Related papers: Solvability of the Gaussian Kyle model with imperf…
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics.…
We obtain an explicit solution for the static Kullback--Leibler (KL) unbalanced optimal transport problem between finite non-degenerate Gaussian measures with quadratic cost, two independent positive marginal relaxation parameters, and no…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
In this paper, we consider a simple discrete-time optimal betting problem using the celebrated Kelly criterion, which calls for maximization of the expected logarithmic growth of wealth. While the classical Kelly betting problem can be…
This paper presents an inverse reinforcement learning~(IRL) framework for Bayesian stopping time problems. By observing the actions of a Bayesian decision maker, we provide a necessary and sufficient condition to identify if these actions…
We study the problem of estimating from data, a sparse approximation to the inverse covariance matrix. Estimating a sparsity constrained inverse covariance matrix is a key component in Gaussian graphical model learning, but one that is…
Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…
An intriguing question in martingale optimal transport is to characterize the martingale with prescribed initial and terminal marginals whose transition kernel is as Gaussian as possible. In this work we address an extension of this…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final…
Motivated by the construction of tractable robust estimators via convex relaxations, we present conditions on the sample size which guarantee an augmented notion of Restricted Eigenvalue-type condition for Gaussian designs. Such a notion is…
We consider the problem of transforming samples from one continuous source distribution into samples from another target distribution. We demonstrate with optimal transport theory that when the source distribution can be easily sampled from…
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
Starting from an exact relationship between news, threshold and price return distributions in the stationary state, I discuss the ability of the Ghoulmie-Cont-Nadal model of traders to produce fat-tailed price returns. Under normal…
We consider a Bayesian approach to model selection in Gaussian linear regression, where the number of predictors might be much larger than the number of observations. From a frequentist view, the proposed procedure results in the penalized…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
We propose a method to optimise the parameters of a policy which will be used to safely perform a given task in a data-efficient manner. We train a Gaussian process model to capture the system dynamics, based on the PILCO framework. Our…
A risk-averse agent hedges her exposure to a non-tradable risk factor $U$ using a correlated traded asset $S$ and accounts for the impact of her trades on both factors. The effect of the agent's trades on $U$ is referred to as cross-impact.…
A general framework is given to analyze the falsifiability of economic models based on a sample of their observable components. It is shown that, when the restrictions implied by the economic theory are insufficient to identify the unknown…
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…