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Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate…
Marketing Mix Modeling (MMM) estimates the impact of marketing activities on business outcomes such as sales or revenue. Traditional MMM approaches rely on linear regression or Bayesian hierarchical models that assume channel independence…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
Market making (MM) has attracted significant attention in financial trading owing to its essential function in ensuring market liquidity. With strong capabilities in sequential decision-making, Reinforcement Learning (RL) technology has…
This paper conducts an empirical investigation into the effects of Designated Market Makers (DMMs) on key market quality indicators, such as liquidity, bid-ask spreads, and order fulfillment ratios. Through agent-based simulations, this…
We investigate the theoretical and empirical relationships between activity in on-chain markets and pricing in off-chain cryptocurrency markets (e.g., ETH/USD prices). The motivation is to develop methods for proxying off-chain market data…
For a many-to-one market where firms are endowed with path-independent choice functions, based on the Aizerman-Malishevski decomposition, we define an associated one-to-one market. Given that the usual notion of stability for a one-to-one…
As consumer flexibility becomes expected, it is important that the market mechanisms which attain that flexibility are perceived as fair. We set out fairness issues in energy markets today, and propose a market design to address them.…
With the rapid growth of Electric Vehicle (EV) technology, EVs are destined to shape the future of transportation. The large number of EVs facilitates the development of the emerging vehicle-to-grid (V2G) technology, which realizes…
This paper offers a survey of uppaalsmc, a major extension of the real-time verification tool uppaal. uppaalsmc allows for the efficient analysis of performance properties of networks of priced timed automata under a natural stochastic…
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
The AHP/ANP are multicriteria decision-making theories that deal with both hierarchic structures when the criteria are independent of the alternatives and with networks when there is any dependence within and between elements of the…
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating…
The popularity of cryptocurrencies has grown significantly in recent years, and they have become an important asset for internet trading. One of the main drawbacks of cryptocurrencies is the high volatility and fluctuation in value. The…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
This paper models firm-to-firm trade in a production network as a set of double auctions. Firms have multilateral market power, namely, can affect prices in both input and output markets. The size and division of surplus are endogenous and…