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.
Existence of Radner equilibrium proven with growing population.
Existence of incomplete Radner equilibrium with endogenous noise tracker.
Study proves existence of equilibrium in incomplete economies with discontinuous volatility.
This study analyzes costs of CCP default resolution using Radner equilibrium approach.
Proves existence of equilibrium in limited participation economy.
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.…
Study examines how market dynamics affect emissions trading prices and abatement efforts.
Extends Kyle model to multiple traders with different time-preference coefficients.
Extended model ensures long-term survival of traders in limited stock market participation.
The paper proves an equilibrium in a limited stock market participation model with power utilities.
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…
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic models and prove that the corresponding incomplete equilibrium is characterized by a …
The existence of complete Radner equilibria is established in an economy which parameters are driven by a diffusion process. Our results complement those in the literature. In particular, we work under essentially minimal regularity conditions and treat time-inhomogeneous case.
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded annuity, and, along with unspanned income, the market is incomplete. Set in a Bro…
Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the equilibrium allocation are m…
Equilibrium found for multi-agent trading with transaction costs.
A new model for heterogeneous populations optimizes consumption and investment over short horizons.
We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst is provided. In particular, closed-form expressions for the probability density functi…
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of "smallness" type is shown to be sufficient for existence and uniqueness. In par…
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.
A new method relaxes molecules without needing non-equilibrium data.
Study how transaction costs impact stock returns and holdings in equilibrium.
The paper examines Nash equilibrium in GANs for stationary Gaussian processes.
Study on equilibrium with non-convex preferences.
During the Great Recession, Democrats in the United States argued that government spending could be utilized to "grease the wheels" of the economy in order to create wealth and to increase employment; Republicans, on the other hand, contended that government spending is wasteful and discouraged investment, thereby incr…
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 [$…
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 …
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.
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.
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function induces decreasing impatience, we establish the existence of an equilibrium through …
Market equilibrium price proven in a large-agent model.
Paper generalizes Hardy-Rogers maps for market equilibrium analysis in duopoly markets.
We study the formation of derivative prices in equilibrium between risk-neutral agents with heterogeneous beliefs about the dynamics of the underlying. Under the condition that the derivative cannot be shorted, we prove the existence of a unique equilibrium price and show that it incorporates the speculative value of p…