Related papers: Evaluating Structured Strategy Backtests: Peer Ben…
We show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay and Interactive Agent-Based Simulation (IABS). Our solution is important because each method offers strengths…
Strategic classification studies the design of a classifier robust to the manipulation of input by strategic individuals. However, the existing literature does not consider the effect of competition among individuals as induced by the…
We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the corresponding betas) do not involve…
Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while…
The dynamics of financial markets are driven by the interactions between participants, as well as the trading mechanisms and regulatory frameworks that govern these interactions. Decision-makers would rather not ignore the impact of other…
Algorithms are often used to produce decision-making rules that classify or evaluate individuals. When these individuals have incentives to be classified a certain way, they may behave strategically to influence their outcomes. We develop a…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
The concept of identifiability describes the possibility of inferring the parameters of a dynamic model by observing its output. It is common and useful to distinguish between structural and practical identifiability. The former property is…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
Strategy-proof mechanisms are widely used in market design. In an abstract allocation framework where outside options are available to agents, we obtain two results for strategy-proof mechanisms. They provide a unified foundation for…
Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…
Our aim is to design mechanisms that motivate all agents to reveal their predictions truthfully and promptly. For myopic agents, proper scoring rules induce truthfulness. However, as has been described in the literature, when agents take…
The evaluation of recommendation systems is a complex task. The offline and online evaluation metrics for recommender systems are ambiguous in their true objectives. The majority of recently published papers benchmark their methods using…
We conduct an incentivized lab experiment to test participants' ability to understand the DA matching mechanism and the strategyproofness property, conveyed in different ways. We find that while many participants can (using a novel GUI)…
It is still largely unclear to what extent bettors update their prior assumptions about the strength and form of competing teams considering the dynamics during the match. This is of interest not only from the psychological perspective, but…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
Backtest is a way of financial risk evaluation which helps to analyze how our trading algorithm would work in markets with past time frame. The high volatility situation has always been a critical situation which creates challenges for…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
Competitive analysis of online algorithms has commonly been applied to understand the behaviour of real-time systems during overload conditions. While competitive analysis provides insight into the behaviour of certain algorithms, it is…
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment. Each agent trades a distinct stock following a binomial…