相关论文: Amortized Analysis of Asynchronous Price Dynamics

This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…

Although the valuation of life contingent assets has been thoroughly investigated under the framework of mathematical statistics, little financial economics research pays attention to the pricing of these assets in a non-arbitrage, complete…

In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…

The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…

We study inflation, perturbations, non-gaussinity and late-time cosmological dynamics of a tachyon field both minimally and non-minimally coupled to gravity. By analyzing the parameters space of the model, the viability of the model in…

Cyclic coordinate descent is a classic optimization method that has witnessed a resurgence of interest in machine learning. Reasons for this include its simplicity, speed and stability, as well as its competitive performance on $\ell_1$…

Amortized optimization accelerates the solution of related optimization problems by learning mappings that exploit shared structure across problem instances. We explore the use of Scale Equivariant Graph Metanetworks (ScaleGMNs) for this…

The study of Day-Ahead prices in the electricity market is one of the most popular problems in time series forecasting. Previous research has focused on employing increasingly complex learning algorithms to capture the sophisticated…

I introduce a novel mathematical framework integrating topological dynamics, operator algebras, and ergodic geometry to study lattices of asynchronous metric dynamical systems. Each node in the lattice carries an internal flow represented…

We investigate in detail the asymptotic properties of tachyon cosmology for a broad class of self-interaction potentials. The present approach relies in an appropriate re-definition of the tachyon field, which, in conjunction with a method…

"Synchronization of two dynamical systems" is the term used to describe the phenomenon when two or more systems gradually change their states or behaviors to become similar or identical. This can happen in a lot of fields, such as physics,…

We develop a unified ascending-auction framework for computing Walrasian equilibria in combinatorial markets with strong substitutes valuations and piecewise-linear payment functions. Our auction extends the celebrated ascending auctions of…

Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. To model such…

Coordinate descent algorithms solve optimization problems by successively performing approximate minimization along coordinate directions or coordinate hyperplanes. They have been used in applications for many years, and their popularity…

Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…

Cai, Song and Kou (2015) [Cai, N., Y. Song, S. Kou (2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3): 540-554] made a breakthrough by proposing a general framework for pricing both discretely and…

We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…

This monograph presents a class of algorithms called coordinate descent algorithms for mathematicians, statisticians, and engineers outside the field of optimization. This particular class of algorithms has recently gained popularity due to…

Asynchronous inference has emerged as a prevalent paradigm in robotic manipulation, achieving significant progress in ensuring trajectory smoothness and efficiency. However, a systemic challenge remains unresolved, as inherent latency…

This paper unifies two foundational constructs from economics and algorithmic game theory, the Arctic Auction and the linear Fisher market, to address the efficient allocation of differentiated goods in complex markets. Our main…