相关论文: Generalized statistical arbitrage concepts and rel…

A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…

Combinatorial auctions are formulated as frustrated lattice gases on sparse random graphs, allowing the determination of the optimal revenue by methods of statistical physics. Transitions between computationally easy and hard regimes are…

The rapid emergence of massive datasets in various fields poses a serious challenge to traditional statistical methods. Meanwhile, it provides opportunities for researchers to develop novel algorithms. Inspired by the idea of…

We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the…

We consider turn-based game arenas for which we investigate uniformity properties of strategies. These properties involve bundles of plays, that arise from some semantical motive. Typically, we can represent constraints on allowed…

Staggered treatment adoption arises in the evaluation of policy impact and implementation in many settings, including both randomized stepped-wedge trials and non-randomized quasi-experiments with panel data. In both settings, getting an…

The existence of the {\em typical set} is key for data compression strategies and for the emergence of robust statistical observables in macroscopic physical systems. Standard approaches derive its existence from a restricted set of…

We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…

We study the variant of the stable marriage problem in which the preferences of the agents are allowed to include indifferences. We present a mechanism for producing Pareto-stable matchings in stable marriage markets with indifferences that…

We consider the general model of zero-sum repeated games (or stochastic games with signals), and assume that one of the players is fully informed and controls the transitions of the state variable. We prove the existence of the uniform…

We first estimate the average growth of a company's annual income and its variance by using both real company data and a numerical model which we already introduced a couple of years ago. Investment strategies expecting for income growth is…

Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…

We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with bounded risk" (NUPBR) in one-dimensional general diffusion…

In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by randomly sampling candidate solutions from a parameterized…

Triangular arbitrage is a profitable trading strategy in financial markets that exploits discrepancies in currency exchange rates. Traditional methods for detecting triangular arbitrage opportunities, such as exhaustive search algorithms…

We propose and analyze a novel theoretical and algorithmic framework for structured prediction. While so far the term has referred to discrete output spaces, here we consider more general settings, such as manifolds or spaces of probability…

Gradient boosting is a state-of-the-art prediction technique that sequentially produces a model in the form of linear combinations of simple predictors---typically decision trees---by solving an infinite-dimensional convex optimization…

This paper proves several Tauberian theorems for general iterations of operators, and provides two applications to zero-sum stochastic games where the total payoff is a weighted sum of the stage payoffs. The first application is to provide…

Across the sciences, the statistical analysis of networks is central to the production of knowledge on relational phenomena. Because of their ability to model the structural generation of networks, exponential random graph models are a…

We propose a new modeling approach that is a generalization of generative and discriminative models. The core idea is to use an implicit parameterization of a joint probability distribution by specifying only the conditional distributions.…