相关论文: Amortized Analysis of Asynchronous Price Dynamics
In this paper, we introduce the synchronization zeta function associated with a pair of self-maps of a topological space and investigate its properties. We also define the growth rate of synchronization points and derive an explicit formula…
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price…
Stochastic Gradient Descent (SGD) is a fundamental algorithm in machine learning, representing the optimization backbone for training several classic models, from regression to neural networks. Given the recent practical focus on…
This paper presents a decentralized algorithm for a team of agents to track time-varying fixed points that are the solutions to time-varying convex optimization problems. The algorithm is first-order, and it allows for total asynchrony in…
The tatonnement process in high frequency order driven markets is modeled as a search by buyers for sellers and vice-versa. We propose a total order book model, comprising limit orders and latent orders, in the absence of a market maker. A…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
Two replicas of spatially extended chaotic systems synchronize to a common spatio-temporal chaotic state when coupled above a critical strength. As a prototype of each single spatio-temporal chaotic system a lattice of maps interacting via…
We present a generic framework for parallel coordinate descent (CD) algorithms that includes, as special cases, the original sequential algorithms Cyclic CD and Stochastic CD, as well as the recent parallel Shotgun algorithm. We introduce…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
We study the allocation of divisible goods to competing agents via a market mechanism, focusing on agents with Leontief utilities. The majority of the economics and mechanism design literature has focused on \emph{linear} prices, meaning…
Synchronization in a group of linear time-invariant systems is studied where the coupling between each pair of systems is characterized by a different output matrix. Simple methods are proposed to generate a (separate) linear coupling gain…
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe…
I characterize stochastic non-t\^atonnement processes (SNTP) and argue that they are a natural outcome of General Equilibrium Theory. To do so, I revisit the classical demand theory to define a normalized Walrasian demand and a…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
This paper studies decentralized re-equilibration following population shocks, such as worker exits or firm entries, in many-to-many matching markets with contracts under substitutable preferences. We show that restricting any pre-shock…
Market equilibrium is one of the most fundamental solution concepts in economics and social optimization analysis. Existing works on market equilibrium computation primarily focus on settings with relatively few buyers. Motivated by this,…
We describe an asynchronous parallel stochastic coordinate descent algorithm for minimizing smooth unconstrained or separably constrained functions. The method achieves a linear convergence rate on functions that satisfy an essential strong…
We consider a general class of high-volume, fast-moving production-inventory systems based on both lost-sales and backorder inventory models. Such systems require a fundamental understanding of the asymptotic behavior of key performance…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…