相关论文: Generalized statistical arbitrage concepts and rel…

We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing,…

Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…

In complex systems, crucial parameters are often subject to unpredictable changes in time. Climate, biological evolution and networks provide numerous examples for such non-stationarities. In many cases, improved statistical models are…

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…

Traditional statistical estimation, or statistical inference in general, is static, in the sense that the estimate of the quantity of interest does not change the future evolution of the quantity. In some sequential estimation problems…

AI agents will be predictable in certain ways that traditional agents are not. Where and how can we leverage this predictability in order to improve social welfare? We study this question in a game-theoretic setting where one agent can pay…

In this paper we focus on the beneficial role of random strategies in social sciences by means of simple mathematical and computational models. We briefly review recent results obtained by two of us in previous contributions for the case of…

We introduce the sequence-set betting game, a generalization of An. A. Muchnik's non-monotonic betting game. Instead of successively partitioning the infinite binary strings by their value of a bit at a chosen position, as in the…

Most work in game theory assumes that players are perfect reasoners and have common knowledge of all significant aspects of the game. In earlier work, we proposed a framework for representing and analyzing games with possibly unaware…

We study a portioning setting in which a public resource such as time or money is to be divided among a given set of candidates, and each agent proposes a division of the resource. We consider two families of aggregation rules for this…

We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear parabolic equation. Unlike [7, 18], the equation is not…

In this paper a finite discrete time market with an arbitrary state space and bid-ask spreads is considered. The notion of an equivalent bid-ask martingale measure (EBAMM) is introduced and the fundamental theorem of asset pricing is proved…

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…

We investigate the impact of big winner stocks on the performance of active and passive investment strategies using a combination of numerical and analytical techniques. Our analysis is based on historical stock price data from 2006 to 2021…

Average consensus (AC) strategies play a key role in every system that employs cooperation by means of distributed computations. To promote consensus, an $N$-agent network can repeatedly combine certain node estimates until their mean value…

There has been widespread use of causal inference methods for the rigorous analysis of observational studies and to identify policy evaluations. In this article, we consider a class of generalized coarsened procedures for confounding. At a…

Matrix games constitute a fundamental problem of game theory and describe a situation of two players with completely conflicting interests. We show how methods from statistical mechanics can be used to investigate the statistical properties…

An algorithm was recently introduced by INTECH for the purposes of estimating the trading-profit contribution of systematic rebalancing to the relative return of rules-based investment strategies. We apply this methodology to analyze the…

This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and…