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.
This paper simplifies the Nash Bargaining Solution for use in intellectual property cases.
A new approach to group fairness treats it as a bargaining problem.
Paper refines royalty determination using Bayesian methods.
The paper tackles fair sharing of exploration costs across groups in online learning.
NAMEx merges experts using Nash bargaining for improved performance.
Our work extends Coase's theorem to settings with uncertainty, showing how to maximize social welfare through property rights and learning.
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using subjective beliefs concerning the future states of the world and the reservation prices …
The article improves the display of acceptable exchange ratios for merging companies.
Proposes a value-oriented forecast reconciliation method for renewables in electricity markets.
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a range of risk aversion coefficients. It is shown that at the strictly beneficial…
PropFair algorithm ensures fair performance in federated learning.
Improved UCB method for stochastic bandits using distance tuning.
Dual labor market model explains low inflation despite low unemployment.
We propose a continuum model for the description of buyer and seller dynamics in an Internet market. The relevant variables are the research effort of buyers and the sellers' reputation building process. We show that, if a commercial web-site gives consumers the possibility to rate credibly sellers they bargained with,…
This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger agreement. Here, we generalize Yagil's work letting both pre- and post-merger dividends grow randomly over time. If Yagil fo…
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of the S&P 100 stocks during 2004-2018. Using a two-way fixed-effects model, we unco…
AGI modifies utility function to cooperate, conflicting with orthogonality thesis.
We study the effect of altruism in two simple asset exchange models: the yard sale model (winner gets a random fraction of the poorer player's wealth) and the theft and fraud model (winner gets a random fraction of the loser's wealth). We also introduce in these models the concept of bargaining efficiency, which makes …
We consider a nonlinear extension of the generalized network flow model, with the flow leaving an arc being an increasing concave function of the flow entering it, as proposed by Truemper and Shigeno. We give a polynomial time combinatorial algorithm for solving corresponding flow maximization problems, finding an epsi…
The paper compares LOCO and Shapley values for feature importance, highlighting their limitations and suggesting improvements.
We look at how asset exchange models can be mapped to random iterated function systems (IFS) giving new insights into the dynamics of wealth accumulation in such models. In particular, we focus on the "yard-sale" (winner gets a random fraction of the poorer players wealth) and the "theft-and-fraud" (winner gets a rando…
AI advances impact asset management, offering new decision-making capabilities.
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high Sharpe asset (i.e. the market portfolio). Rather than, say, the broker posting a m…
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer strategic model we propose a network of bargaining agents who mutually either coopera…
The paper revisits classical competition theory to explain speculative asset price dynamics.
New algorithm minimizes FE objectives for synthetic AIF agents.
The paper analyzes auction theory and its impact on buyer demographics.
This work examines the effects of allowing borrowing in betting-based hypothesis testing.