相关论文: Arbitrage-Free Combinatorial Market Making via Int…
Automated market makers, first popularized by Hanson's logarithmic market scoring rule (or LMSR) for prediction markets, have become important building blocks, called 'primitives,' for decentralized finance. A particularly useful primitive…
We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…
The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). We…
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices…
We consider a generalization of the third degree price discrimination problem studied in Bergemann et al. (2015), where an intermediary between the buyer and the seller can design market segments to maximize any linear combination of…
Projection-free optimization via different variants of the Frank-Wolfe (FW), a.k.a. Conditional Gradient method has become one of the cornerstones in optimization for machine learning since in many cases the linear minimization oracle is…
We propose a primal heuristic for quadratic mixed-integer problems. Our method extends the Boscia framework -- originally a mixed-integer convex solver leveraging a Frank-Wolfe-based branch-and-bound approach -- to address nonconvex…
The Fisher market is one of the most fundamental models for resource allocation problems in economic theory, wherein agents spend a budget of currency to buy goods that maximize their utilities, while producers sell capacity constrained…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation. First, for a generic market dynamics given by a multidimensional It\^o's process we…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
In this paper we derive an effective equation for derivative pricing which accounts for the presence of virtual arbitrage opportunities and their elimination by the market. We model the arbitrage return by a stochastic process and find an…
Arbitrage can arise from the simultaneous purchase and sale of the same asset in different markets in order to profit from a difference in its price. This work systematically reviews arbitrage opportunities between Automated Market Makers…
Machine learning (ML) is increasingly being used in high-stakes applications impacting society. Therefore, it is of critical importance that ML models do not propagate discrimination. Collecting accurate labeled data in societal…
In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it…
We study a market mechanism that sets edge prices to incentivize strategic agents to efficiently share limited network capacity. In this market, agents form coalitions, with each coalition sharing a unit capacity of a selected route and…
The transition to auto-bidding in online advertising has shifted the focus of auction theory from quasi-linear utility maximization to value maximization subject to financial constraints. We study mechanism design for buyers with private…
We establish existence of Predictable Forward Performance Processes (PFPPs) in complete markets, which has been previously shown only in the binomial setting. Our market model can be a discrete-time or a continuous-time model, and the…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…