相关论文: Generalized statistical arbitrage concepts and rel…

This paper considers the use of observed and predicted match statistics as inputs to forecasts of the outcomes of football matches. It is shown that, were it possible to know the match statistics in advance, highly informative forecasts of…

We introduce a solution concept for extensive-form games of incomplete information in which players need not assign likelihoods to what they do not know about the game. This is embedded in a model in which players can hold multiple priors.…

We study, from the perspective of large financial markets, the asymptotic arbitrage opportunities in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was introduced by Sottinen and…

Statistical arbitrages (StatArbs) driven by machine learning has garnered considerable attention in both academia and industry. Nevertheless, deep-learning (DL) approaches to directly exploit StatArbs in options markets remain largely…

The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…

Strategic decision-making in uncertain and adversarial environments is crucial for the security of modern systems and infrastructures. A salient feature of many optimal decision-making policies is a level of unpredictability, or randomness,…

When facing a heavily-favored opponent, an underdog must be willing to assume greater-than-average risk. In statistical language, one would say that an underdog must be willing to adopt a strategy whose outcome has a larger-than-average…

We provide an epistemic analysis of arbitrary strategic games based on possibility correspondences. We first establish a generic result that links true common beliefs (and, respectively, common knowledge) of players' rationality defined by…

We study a general aggregation problem in which a society has to determine its position on each of several issues, based on the positions of the members of the society on those issues. There is a prescribed set of feasible evaluations,…

Consider a market of competing model providers selling query access to models with varying costs and capabilities. Customers submit problem instances and are willing to pay up to a budget for a verifiable solution. An arbitrageur…

Mean field games formalize dynamic games with a continuum of players and explicit interaction where the players can have heterogeneous states. As they additionally yield approximate equilibria of corresponding $N$-player games, they are of…

We consider several notions of genericity appearing in algebraic geometry and commutative algebra. Special emphasis is put on various stability notions which are defined in a combinatorial manner and for which a number of equivalent…

We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in…

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…

We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle.…

We introduce a new class of context dependent, incomplete information games to serve as structured prediction models for settings with significant strategic interactions. Our games map the input context to outcomes by first condensing the…

This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…

Prediction markets are well-studied in the case where predictions are probabilities or expectations of future random variables. In 2008, Lambert, et al. proposed a generalization, which we call "scoring rule markets" (SRMs), in which…

Bargaining can be used to resolve mixed-motive games in multi-agent systems. Although there is an abundance of negotiation strategies implemented in automated negotiating agents, most agents are based on single fixed strategies, while it is…

We propose a new discrete choice model, called the generalized stochastic preference (GSP) model, that incorporates non-rationality into the stochastic preference (SP) choice model, also known as the rank-based model. Our model can capture…