Related papers: How to reconcile Market Efficiency and Technical A…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
The wide adoption of gas fired units and power-to-gas technology brings remarkable interdependency between natural gas and electricity infrastructures. This paper studies the equilibria of coupled gas and electricity energy markets driven…
Event-clock automata (ECA) are a well-known semantic subclass of timed automata (TA) which enjoy admirable theoretical properties, e.g., determinizability, and are practically useful to capture timed specifications. However, unlike for…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors,…
In the current landscape of explanation methodologies, most predominant approaches, such as SHAP and LIME, employ removal-based techniques to evaluate the impact of individual features by simulating various scenarios with specific features…
Convergence of Extremum Seeking (ES) algorithms has been established in the limit of small gains. Using averaging theory and contraction analysis, we propose a framework for computing explicit bounds on the departure of the ES scheme from…
This paper revisits the Arrow-Debreu general equilibrium framework through the lens of effective trade, emphasizing the distinction between theoretical and realizable market interactions. We develop the Effective Trade Model (ETM), where…
Machine Learning is proving invaluable across disciplines. However, its success is often limited by the quality and quantity of available data, while its adoption by the level of trust that models afford users. Human vs. machine performance…
Equity markets have long been regarded as unpredictable, with intraday price movements treated as stochastic noise. This study challenges that view by introducing the Extended Samuelson Model (ESM), a natural science-based framework that…
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
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,…
In this letter, we address the problem of controlling energy storage systems (ESSs) for arbitrage in real-time electricity markets under price uncertainty. We first formulate this problem as a Markov decision process, and then develop a…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
The maximum entropy principle (MEP) apparently allows us to derive, or justify, fundamental results of equilibrium statistical mechanics. Because of this, a school of thought considers the MEP as a powerful and elegant way to make…