相关论文: Amortized Analysis of Asynchronous Price Dynamics

We consider Cournot mean field games of controls, a model originally developed for the production of an exhaustible resource by a continuum of producers. We prove uniqueness of the solution under general assumptions on the price function.…

This paper proposes a new coherent model for a comprehensive study of the cotton price using econometrics and Long-Short term memory neural network (LSTM) methodologies. We call a simple cotton price trend and then assumed conjectures in…

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…

We suggest an original physical approach to describe the mechanism of market pricing. The core of our approach is to consider pricing at different time scales separately, using independent equations of motion. Such an approach leads to a…

This study deals with an existing mathematical model of asymmetrically interacting agents. We analyze the following two previously unfocused features of the model: (i) synchronization of growth rates and (ii) initial value dependence of…

Asynchronous methods are widely used in deep learning, but have limited theoretical justification when applied to non-convex problems. We show that running stochastic gradient descent (SGD) in an asynchronous manner can be viewed as adding…

A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…

This paper presents a pioneering approach for simulation of economic activity, policy implementation, and pricing of goods in token economies. The paper proposes a formal analysis framework for wealth distribution analysis and simulation of…

Asynchronous parallel optimization received substantial successes and extensive attention recently. One of core theoretical questions is how much speedup (or benefit) the asynchronous parallelization can bring us. This paper provides a…

In this paper we investigate predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the…

We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…

A new forecasting strategy for stochastic systems is introduced. It is inspired by the concept of anticipated synchronization between pairs of chaotic oscillators, recently developed in the area of Dynamical Systems, and by the earthquake…

We study optimization algorithms based on variance reduction for stochastic gradient descent (SGD). Remarkable recent progress has been made in this direction through development of algorithms like SAG, SVRG, SAGA. These algorithms have…

This paper develops an algorithmic framework for tracking fixed points of time-varying contraction mappings. Analytical results for the tracking error are established for the cases where: (i) the underlying contraction self-map changes at…

Asynchronous algorithms have attracted much attention recently due to the crucial demands on solving large-scale optimization problems. However, the accelerated versions of asynchronous algorithms are rarely studied. In this paper, we…

We explore the dynamics of assisted quintessence, where more than one scalar field is present with the same potential. For potentials with tracking solutions, the fields naturally approach the same values; in the context of inflation this…

We design a randomised parallel version of Adaboost based on previous studies on parallel coordinate descent. The algorithm uses the fact that the logarithm of the exponential loss is a function with coordinate-wise Lipschitz continuous…

This paper considers the often overlooked fact that electricity spot prices in individual European generation zones evolve as a high dimensional panel structure. A general continuous time framework is developed by formulating the panel as…

In this paper we present an averaging technique applicable to the design of zeroth-order Nash equilibrium seeking algorithms. First, we propose a multi-timescale discrete-time averaging theorem that requires only that the equilibrium is…

One of the most important problems in the field of distributed optimization is the problem of minimizing a sum of local convex objective functions over a networked system. Most of the existing work in this area focus on developing…