Related papers: How to reconcile Market Efficiency and Technical A…
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…
We derive analytic formulas to reconstruct particle-averaged quantities from experimental results that suffer from the efficiency loss of particle measurements. These formulas are derived under the assumption that the probabilities of…
In graph-based active learning, algorithms based on expected error minimization (EEM) have been popular and yield good empirical performance. The exact computation of EEM optimally balances exploration and exploitation. In practice,…
The efficient market hypothesis considers all available information already reflected in asset prices and limits the possibility of consistently achieving above-average returns by trading on publicly available data. We analyzed low…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a…
The potential of machine learning to automate and control nonlinear, complex systems is well established. These same techniques have always presented potential for use in the investment arena, specifically for the managing of equity…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
In this article, the concepts of technical efficiency, efficiency, effectiveness and productivity are illustrated. It is discussed that when firms are not homogenous, the situation is the same as when each factor has a different unit of…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
Across machine learning (ML) sub-disciplines, researchers make explicit mathematical assumptions in order to facilitate proof-writing. We note that, specifically in the area of fairness-accuracy trade-off optimization scholarship, similar…
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Economic model predictive control has been proposed as a means for solving the unit loading and unit allocation problem in multi-chiller cooling plants. The adjective economic stems from the use of financial cost due to electricity…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
Expectation Maximization (EM) is among the most popular algorithms for estimating parameters of statistical models. However, EM, which is an iterative algorithm based on the maximum likelihood principle, is generally only guaranteed to find…
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…