Related papers: Path Dependence in AMM-Based Markets: Mathematical…
Market price systems constitute a well-understood class of mechanisms that under certain conditions provide effective decentralization of decision making with minimal communication overhead. In a market-oriented programming approach to…
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…
The state of economic theory and accumulated facts from the different branches of the economic science require to analyze the concept of the description of economy systems. The economic reality generates the problems the solution of that is…
We argue that establishing the phase diagram of Agent Based Models (ABM) is a crucial first step, together with a qualitative understanding of how collective phenomena come about, before any calibration or more quantitative predictions are…
As data marketplaces become increasingly central to the digital economy, it is crucial to design efficient pricing mechanisms that optimize revenue while ensuring fair and adaptive pricing. We introduce the Maximum Auction-to-Posted Price…
A complete approach to reasoning under uncertainty requires support for incremental and interactive formulation and revision of, as well as reasoning with, models of the problem domain capable of representing our uncertainty. We present a…
This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other…
In this paper we present the impact of alternative data that originates from an app-based marketplace, in contrast to traditional bureau data, upon credit scoring models. These alternative data sources have shown themselves to be immensely…
We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either adhere to their market-making agreements and offer…
Agent-based modeling (ABM) has long been used in economics to study human behavior, and large language model (LLM) agents now enable new forms of social and economic simulation. While prior work has discovered strategic deception by LLM…
Matching algorithms have demonstrated great success in several practical applications, but they often require centralized coordination and plentiful information. In many modern online marketplaces, agents must independently seek out and…
Decision markets are mechanisms for selecting one among a set of actions based on forecasts about their consequences. Decision markets that are based on scoring rules have been proven to offer incentive compatibility analogous to properly…
A prediction market is a useful means of aggregating information about a future event. To function, the market needs a trusted entity who will verify the true outcome in the end. Motivated by the recent introduction of decentralized…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…
Decentralized Autonomous Machines (DAMs) represent a transformative paradigm in automation economy, integrating artificial intelligence (AI), blockchain technology, and Internet of Things (IoT) devices to create self-governing economic…
The Artificial Prediction Market is a recent machine learning technique for multi-class classification, inspired from the financial markets. It involves a number of trained market participants that bet on the possible outcomes and are…
Two popular forms of automated market makers are constant sum and constant product (CSMM and CPMM respectively). Each has its advantages and disadvantages: CSMMs have stable exchange rates but are vulnerable to arbitrage and can sometimes…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…