Related papers: How to reconcile Market Efficiency and Technical A…
Empirical risk minimization (ERM) is typically designed to perform well on the average loss, which can result in estimators that are sensitive to outliers, generalize poorly, or treat subgroups unfairly. While many methods aim to address…
This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including Logistic…
Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on model assumption. In this study, we introduce an innovative…
Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior…
Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the…
Consider a semi-supervised setting with a labeled dataset of binary responses and predictors and an unlabeled dataset with only the predictors. Logistic regression is equivalent to an exponential tilt model in the labeled population. For…
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process…
Experimental economics has repeatedly demonstrated that the Nash equilibrium makes inaccurate predictions for a vast set of games. Instead, several alternative theoretical concepts predict behavior that is much more in tune with observed…
The application of principles of thermodynamics and statistical mechanics to economic systems is considered in a broad historical perspective, extending from prehistoric times to the present day. The hypothesis of maximum entropy production…
Parametric timed automata are a powerful formalism for reasoning on concurrent real-time systems with unknown or uncertain timing constants. Reducing their state space is a significant way to reduce the inherently large analysis times. We…
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low…
Extreme value theory (EVT) provides an elegant mathematical tool for the statistical analysis of rare events. When data are collected from multiple population subgroups, because some subgroups may have less data available for extreme value…
When globally optimal solutions of complicated optimization problems cannot be located by evolutionary algorithms (EAs) in polynomial expected running time, the hitting time/running time analysis is not flexible enough to accommodate the…
We consider the impact of fairness requirements on the social efficiency of truthful mechanisms for trade, focusing on Bayesian bilateral-trade settings. Unlike the full information case in which all gains-from-trade can be realized and…
This paper presents an evaluation framework that attempts to quantify the "degree of realism" of simulated financial time series, whatever the simulation method could be, with the aim of discover unknown characteristics that are not being…
In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such…
We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…