相关论文: Amortized Analysis of Asynchronous Price Dynamics

While the field of electricity price forecasting has benefited from plenty of contributions in the last two decades, it arguably lacks a rigorous approach to evaluating new predictive algorithms. The latter are often compared using unique,…

Temporal-difference learning with gradient correction (TDC) is a two time-scale algorithm for policy evaluation in reinforcement learning. This algorithm was initially proposed with linear function approximation, and was later extended to…

Walrasian equilibrium prices can be said to coordinate markets: They support a welfare optimal allocation in which each buyer is buying bundle of goods that is individually most preferred. However, this clean story has two caveats. First,…

We consider the pricing of derivatives written on accumulated marks, such as weather derivatives or aggregate loss claims, using a self-exciting marked point process. The jump intensity mean-reverts between events and increases at jump…

We construct a contour function for the entanglement entropies in generic harmonic lattices. In one spatial dimension, numerical analysis are performed by considering harmonic chains with either periodic or Dirichlet boundary conditions. In…

We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…

This article presents a detailed technical framework for modeling with Bertrand-Nash equilibrium prices under Mixed Logit demand. Two coercive fixed-point equations provide more stable computational methods than those obtained from the…

Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…

We initiate the study of statistical inference and A/B testing for two market equilibrium models: linear Fisher market (LFM) equilibrium and first-price pacing equilibrium (FPPE). LFM arises from fair resource allocation systems such as…

Time-varying pricing tariffs incentivize consumers to shift their electricity demand and reduce costs, but may increase the energy burden for consumers with limited response capability. The utility must thus balance affordability and…

This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…

We prove an asymptotic stability result for a linear coupled hyperbolic-elliptic system on a large class of singular background spacetimes in CMC gauge on the n-torus. At each spatial point these background spacetimes are perturbations of…

Asynchronous parallel optimization algorithms for solving large-scale machine learning problems have drawn significant attention from academia to industry recently. This paper proposes a novel algorithm, decoupled asynchronous proximal…

A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit…

With most content distributed online and mediated by platforms, there is a pressing need to understand the ecosystem of content creation and consumption. A considerable body of recent work shed light on the one-sided market on…

Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time…

Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…

In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…

We describe a family of descent algorithms which generalizes common existing schemes used in applications such as neural network training and more broadly for optimization of smooth functions--potentially for global optimization, or as a…

Econometrics is based on the nonempiric notion of utility. Prices, dynamics, and market equilibria are supposed to be derived from utility. Utility is usually treated by economists as a price potential, other times utility rates are treated…