A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
PAPAL algorithm finds mixed Nash equilibria in continuous games.
Paper studies optimal tracking portfolio in mean field game of large fund competition.
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize expected returns under quadratic costs on inventories and trading rates. The un…
Kernel networks' stability edge linked to Fisher Information singularity.
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered. Furthermore, the results obtained are applied to the optimality pricing. Again three …
This paper extends the convergence rate of DEQs with ReLU to any general activation.
A novel semi-supervised outlier detection model detects anomalies with few labels.
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each agent (generator/load/trader) optimizes a risk adjusted expected value of its re…
We extend Kyle's model to include stochastic liquidity and multiple assets.
We prove the equidistribution of (weighted) periodic orbits of the geodesic ow on noncompact negatively curved manifolds toward equilibrium states in the narrow topology, i.e. in the dual of bounded continuous functions. We deduce an exact asymptotic counting for periodic orbits (weighted or not), which was previously …
Model predicts asset prices from initial shocks using neural networks.
The paper addresses dynamic capital structure models with defaultable debt, proving existence and uniqueness.
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling framework to analyze the effects of trading frequency on market liquidity in a ve…
Extends inf-convolution to countable risk measures for risk sharing.
This paper proposes a mechanism to produce equivalent Lipschitz surrogates for zero-norm and rank optimization problems by means of the global exact penalty for their equivalent mathematical programs with an equilibrium constraint (MPECs). Specifically, we reformulate these combinatorial problems as equivalent MPECs by…
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a generalised conditional variance formula. We show that, under a domination condition,…
Although recent work in AI has made great progress in solving large, zero-sum, extensive-form games, the underlying assumption in most past work is that the parameters of the game itself are known to the agents. This paper deals with the relatively under-explored but equally important "inverse" setting, where the param…
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181, which in this paper are called \emph{mild equilibrium} and \emph{weak equilibrium…
Two-cycle GEILA equilibria are OLG equilibria and vice versa, with applications to indeterminacy and bubbles.
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity.…
A new method relaxes molecules without needing non-equilibrium data.
Existence of Radner equilibrium proven with growing population.
Study how transaction costs impact stock returns and holdings in equilibrium.
Equilibrium found for multi-agent trading with transaction costs.
The paper examines Nash equilibrium in GANs for stationary Gaussian processes.
Study on equilibrium with non-convex preferences.
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
The theorems we proved describe the structure of economic equilibrium in the exchange economy model. We have studied the structure of property vectors under given structure of demand vectors at which given price vector is equilibrium one. On this ground, we describe the general structure of the equilibrium state and gi…
Study equilibrium consumption habits in a large population using mean field games.
By generalizing the measurements on the game experiments of mixed strategy Nash equilibrium, we study the dynamical pattern in a representative dynamic stochastic general equilibrium (DSGE). The DSGE model describes the entanglements of the three variables (output gap [], inflation [] and nominal interest rate [$…
We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are governed by discontinuous Levy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an a…
Study analyzes market equilibrium returns with price impact and transaction costs.
DEQs converge to optimal solutions with mild over-parameterization.
Kyle's equilibrium model stability proven for 1-2 trading times, but not for 3 or more.
Geometric programming approach for traffic equilibrium problems.
In this paper, we study dynamics of geodesic flows over closed surfaces of genus greater than or equal to 2 without focal points. Especially, we prove that there is a large class of potentials having unique equilibrium states, including scalar multiples of the geometric potential, provided the scalar is less than 1. Mo…
Quasitoric manifolds, introduced by M. Davis and T. Januskiewicz in 1991, are topological generalizations of smooth complex projective spaces. In 1992, Banchoff and Kühnel constructed a 10-vertex equilibrium triangulations of $\CP^2$. We generalize this construction for quasitoric manifolds and construct some equilibri…
A Systemic Optimal Risk Transfer Equilibrium (SORTE) was introduced in: "Systemic optimal risk transfer equilibrium", Mathematics and Financial Economics (2021), for the analysis of the equilibrium among financial institutions or in insurance-reinsurance markets. A SORTE conjugates the classical Bühlmann's notion of a …
Capacity control, the bias/variance dilemma, and learning unknown functions from data, are all concerned with identifying effective and consistent fits of unknown geometric loci to random data points. A geometric locus is a curve or surface formed by points, all of which possess some uniform property. A geometric locus…
Existence of incomplete Radner equilibrium with endogenous noise tracker.
Study proves existence of equilibrium in incomplete economies with discontinuous volatility.
GANs may not have Nash equilibria, but proximal training can find solutions.
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism used in stock markets. Both buyers and sellers are elastic in the price-quantity …
Study dynamic equilibrium with insider and general uninformed agent preferences.
The paper solves stochastic control problems with implicit objectives, finding equilibrium strategies.
Proves existence of equilibrium in limited participation economy.
Small covers were introduced by Davis and Januszkiewicz in 1991. We introduce the notion of equilibrium triangulations for small covers. We study equilibrium and vertex minimal -equivariant triangulations of -dimensional small covers. We discuss vertex minimal equilibrium triangulations of $\mathbb{R…
The paper introduces Robust Correlated Equilibrium for games with time-varying costs and proposes an algorithm to achieve it.