Related papers: A continuous-time Kyle model with price-responsive…

This paper develops a computational framework based on a car-following model to study traffic instability and lane changes. Building upon Newell's classical first-order car-following model, we show that, both analytically and numerically,…

We study Proportional Response Dynamics (PRD) in linear Fisher markets where participants act asynchronously. We model this scenario as a sequential process in which in every step, an adversary selects a subset of the players that will…

Data-driven control methods need to be sample-efficient and lightweight, especially when data acquisition and computational resources are limited -- such as during learning on hardware. Most modern data-driven methods require large datasets…

In this paper we study the asymptotic behavior of a Boltzmann type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transactions costs.…

This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…

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…

Algorithmic trading relies on machine learning models to make trading decisions. Despite strong in-sample performance, these models often degrade when confronted with evolving real-world market regimes, which can shift dramatically due to…

A large body of empirical literature has shown that market impact of financial prices is transient. However, from a theoretical standpoint, the origin of this temporary nature is still unclear. We show that an implied transient impact…

An output feedback model predictive control (MPC) framework with adaptive tubes is proposed for linear time-invariant systems subject to parametric and additive uncertainties. An adaptive observer provides point estimates of the system…

Stabilization of linear control systems with parameter-dependent system matrices is investigated. A Riccati based feedback mechanism is proposed and analyzed. It is constructed by means of an ensemble of parameters from a training set. This…

We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…

We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of…

Noise traders can be dispensed with entirely. Partial revelation of information through prices arises under any non-exponential expected utility preference, including CRRA, without noise traders, random endowments, supply shocks, hedging…

Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic…

Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…

Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…

Loyal buyer-seller relationships can arise by design, e.g. when a seller tailors a product to a specific market niche to accomplish the best possible returns, and buyers respond to the dedicated efforts the seller makes to meet their needs.…

In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…

We consider in a market model the cooperative emergence of value due to a positive feedback between perception of needs and demand. Here we consider also a negative feedback from production of the traded products, and find that this…

We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…