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We study the classical probabilistic assignment problem, where finitely many indivisible objects are to be probabilistically or proportionally assigned among an equal number of agents. Each agent has an initial deterministic endowment and a…
We present a study of price impact in the over-the-counter credit index market, where no limit order book is used. Contracts are traded via dealers, that compete for the orders of clients. Despite this distinct microstructure, we…
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact law. An…
Many early order flow auction designs handle the payment for orders when they execute on the chain rather than when they are won in the auction. Payments in these auctions only take place when the orders are executed, creating a free option…
We consider first-passage percolation (FPP) on the triangular lattice with vertex weights $(t_v)$ whose common distribution function $F$ satisfies $F(0)=1/2$. This is known as the critical case of FPP because large (critical) zero-weight…
The prevention of rapidly and steeply falling market prices is vital to avoid financial crisis. To this end, some stock exchanges implement a price limit or a circuit breaker, and there has been intensive investigation into which regulation…
The statistics of the first-encounter time of diffusing particles changes drastically when they are placed under confinement. In the present work, we make use of Monte Carlo simulations to study the behavior of a two-particle system in two-…
We show the asymptotic long-time equivalence of a generic power law waiting time distribution to the Mittag-Leffler waiting time distribution, characteristic for a time fractional CTRW. This asymptotic equivalence is effected by a…
Given the combined evidences of bounded rationality, limited information and short-term optimization, over-the-counter (OTC) fresh product markets provide a perfect instance where to develop a behavioural approach to the analysis of…
We study periodic review stochastic inventory control in the data-driven setting where the retailer makes ordering decisions based only on historical demand observations without any knowledge of the probability distribution of the demand.…
We study the expressive power of First-Order Logic (\FO) over (unordered) infinite trees, with the aim of identifying robust characterisations in terms of branching-time specification formalisms. While such correspondences are well…
Evaluating the completion time of a random algorithm or a running stochastic process is a valuable tip not only from a purely theoretical, but also pragmatic point of view. In the formal sense, this kind of a task is specified in terms of…
We propose a general and experimentally accessible framework to quantify transition timing in discrete quantum systems via the time-of-flow (TF) distribution. Defined from the rate of population change in a target state, the TF distribution…
We study the dynamics of ordering in ferromagnets via Monte Carlo simulations of the Ising model, employing the Glauber spin-flip mechanism, in space dimensions $d=2$ and $3$. Results for the persistence probability and the domain growth…
Zipf's power-law distribution is a generic empirical statistical regularity found in many complex systems. However, rather than universality with a single power-law exponent (equal to 1 for Zipf's law), there are many reported deviations…
We study predictive control in a setting where the dynamics are time-varying and linear, and the costs are time-varying and well-conditioned. At each time step, the controller receives the exact predictions of costs, dynamics, and…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…
We construct an effective field theory (EFT) that captures the universal behavior of out-of-time-order correlators (OTOCs) at late times in generic quantum many-body systems with conservation laws. The EFT hinges on a generalization of the…
Repeated multi-unit auctions, where a seller allocates multiple identical items over many rounds, are common mechanisms in electricity markets and treasury auctions. We compare the two predominant formats: uniform-price and discriminatory…
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, long term memory of volatility and non-Poissonian intervals. We also clarify the causality between…