Related papers: No Trade Under Verifiable Information
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
A marketplace is defined where the private data of suppliers (e.g., prosumers) are protected, so that neither their identity nor their level of stock is made known to end customers, while they can sell their products at a reduced price. A…
Noncooperative multi-agent systems often face coordination challenges due to conflicting preferences among agents. In particular, when agents act in their own self-interest, they may prefer different choices among multiple feasible…
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtain versions…
Many markets rely on traders truthfully communicating who has cheated in the past and ostracizing those traders from future trade. This paper investigates when truthful communication is incentive compatible. We find that if each side has a…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
We investigate the implementation of reduced-form allocation probabilities in a two-person bargaining problem without side payments, where the agents have to select one alternative from a finite set of social alternatives. We provide a…
We formalise the notion of an anonymous public announcement in the tradition of public announcement logic. Such announcements can be seen as in-between a public announcement from ``the outside" (an announcement of $\phi$) and a public…
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…
An information theoretic privacy mechanism design problem for two scenarios is studied where the private data is either hidden or observable. In each scenario, privacy leakage constraints are considered using two different measures. In…
We point out some major drawbacks in random trading market models and propose a realistic modification which overcomes such drawbacks through `sensible trading'. We apply such trading policy in different situations: a) Agents with zero…
In many large scale distributed systems and on the web, agents need to interact with other unknown agents to carry out some tasks or transactions. The ability to reason about and assess the potential risks in carrying out such transactions…
Investors trade shifting prices, portfolio values, and in turn their ability to borrow. Concentrated ownership, high price impact and low collateral requirements are propitious for arbitrage.
Reality of quantum observables, a feature of long-standing interest within foundations of quantum mechanics, has recently been quantified and deeply studied by means of entropic measures [Phys. Rev. A 97, 022107 (2018)]. However, there is…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
Within entanglement theory there are criteria which certify that some quantum states cannot be distilled into pure entanglement. An example is the positive partial transposition criterion. Here we present, for the first time, the analogous…
Public blockchains should be able to scale with respect to the number of nodes and to the transactions workload. The blockchain scalability trilemma has been informally conjectured. This is related to scalability, security and…
For LLM trading agents to be genuinely trustworthy, they must demonstrate understanding of market dynamics rather than exploitation of memorized ticker associations. Building responsible multi-agent systems demands rigorous signal…
Software Transactional Memory (STM) algorithms provide programmers with a synchronisation mechanism for concurrent access to shared variables. Basically, programmers can specify transactions (reading from and writing to shared state) which…
We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to…