相关论文: Trade-based Asset Model using Dynamic Junction Tre…

Prediction markets are powerful mechanisms for information aggregation, but existing designs are optimized for single-event contracts. In practice, traders frequently express beliefs about joint outcomes - through parlays in sports,…

The problem of predicting links in large networks is an important task in a variety of practical applications, including social sciences, biology and computer security. In this paper, statistical techniques for link prediction based on the…

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…

In this paper we present and evaluate a general framework for the design of truthful auctions for matching agents in a dynamic, two-sided market. A single commodity, such as a resource or a task, is bought and sold by multiple buyers and…

Financial assets exhibit complex dependency structures, which are crucial for investors to create diversified portfolios to mitigate risk in volatile financial markets. To explore the financial asset dependencies dynamics, we propose a…

We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…

In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…

Real-time AI services increasingly operate across the device-edge-cloud continuum, where autonomous AI agents generate latency-sensitive workloads, orchestrate multi-stage processing pipelines, and compete for shared resources under policy…

Previous research primarily characterized price movements according to time intervals, resulting in temporal discontinuity and overlooking crucial activities in financial markets. Directional Change (DC) is an alternative approach to…

By capturing outliers, volatility clustering, and tail dependence in the asset return distribution, we build a sophisticated model to predict the downside risk of the global financial market. We further develop a dynamic regime switching…

In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…

This paper presents a novel distributed active set method for model predictive control of linear systems. The method combines a primal active set strategy with a decentralized conjugate gradient method to solve convex quadratic programs. An…

Modeling the behavior of stock price data has always been one of the challengeous applications of Artificial Intelligence (AI) and Machine Learning (ML) due to its high complexity and dependence on various conditions. Recent studies show…

This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates four conventional approaches : equal weighted, minimum…

This paper proposes a new combinatorial auction framework for local energy flexibility markets, which addresses the issue of prosumers' inability to bundle multiple flexibility time intervals. To solve the underlying NP-complete winner…

Auctions are becoming an increasingly popular method for transacting business, especially over the Internet. This article presents a general approach to building autonomous bidding agents to bid in multiple simultaneous auctions for…

We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…

This paper presents a novel adaptive-filter approach for predicting assets on the stock markets. Concepts are introduced here, which allow understanding this method and computing of the corresponding forecast. This approach is applied, as…

This paper presents a comprehensive study on stock price prediction, leveragingadvanced machine learning (ML) and deep learning (DL) techniques to improve financial forecasting accuracy. The research evaluates the performance of various…

We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…