arXiv research

A new model predicts price concavity and reversion after metaorder execution.

This study examines how earnings announcements affect option volatility and pricing.

This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship between the order flow and the fundamental price (i.e. the local price impact) is …

ICCNLS models complex relationships as convex and concave components.

Dynamic pricing policy converges to Nash equilibrium with low regret.

The main results are two characterisations of log-concave densities in terms of the collection of lift zonoids corresponding to a peacock. These notions are recalled and connected to arbitrage-free asset pricing in financial mathematics.

Optimal trading strategy under market resistance and concave price impact model.

Paper examines costs of using wrong price impact models in trading.

New method finds arbitrage opportunities in fluctuating asset bands.

The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric (constant trading volume) MI is…

We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support property. We show that the super-replication price is the cheapest cost of a trivial s…

This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the m…

New loss functions optimize pricing policies using transaction data, ensuring expected revenue guarantees.

Estimates self- and cross-impact concavity and decay patterns in financial markets.

The paper studies price impacts in asset liquidation markets.

In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems for arbitrarily small transaction costs. This result applies to a large class o…

A pricing principle is introduced for non-attainable claims in incomplete markets.

The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for Black--Scholes implied volatility is derived. The binary operation is compatible with the convex order, and therefore …

We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $G$ over a time interval $Δt$ and two different measures of demand fluctuations: (a) $Φ$, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) $Ω$, def…

This paper studies the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price -- the geometric Brownian motion and exponential Ornstein-Uhlenbeck models -- to account for, respectiv…

We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume $ω$ and $g$. The dependence …

We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respectively the trade arrival self-excitation, the price changes mean reversion…

The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage …

Investigates how rebalancing frequency and transaction costs affect log-optimal portfolios.

Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for modelling stochastic interactions between agents, based on a herding process corrected b…

Optimal trading strategy derived for nonlinear price impact models.

We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity) of the ask (resp. bid) price. Time consistency is a crucial property for dynami…

The paper establishes conditions for strict power concavity in convolutions.

New model explains why metaorder impact estimation is hard with public data.

Algorithm generates realistic metaorders from public trade data.

Minimal graph level sets are concave if boundary is concave.

Optimizes fund manager's wealth with partial information on market risk.

Proves log-concavity of cluster algebra coefficients for type $A_n$.

Study improves sampling from non-log-concave distributions using Fisher information.

Support selection and eventwise decoupling for simultaneous bets proven.

Unified model for financial derivatives pricing with stochastic interest rates.

The study bounds the utility of empirically optimal portfolios using stock return data.

Established concavity principle for curved spaces.

Establishes log-concavity estimates for convex domains' first Dirichlet eigenfunctions.

We numerically study an Asset Liability Management problem linked to the decommissioning of French nuclear power plants. We link the risk aversion of practitioners to an optimization problem. Using different price models we show that the optimal solution is linked to a de-risking management strategy similar to a concav…

Our goal in this paper is to study the market impact in a market in which the order flow is autocorrelated. We build a model which explains qualitatively and quantitatively the empirical facts observed so far concerning market impact. We define different notions of market impact, and show how they lead to the different…

New saddle network architectures preserve convex-concave geometry in optimization problems.

Heat flow fails to preserve concavity in curved spaces.

We present a simple connection between differential Harnack inequalities for hypersurface flows and natural concavity properties of their time-of-arrival functions. We prove these concavity properties directly for a large class of flows by applying a concavity maximum principle argument to the corresponding level set f…

Investigates concavity of spacetimes, showing conditions for local concavity.

We define a class of L-convex-concave subsets of $\Bbb{R}P^n$, where L is a projective subspace of dimension l in $\Bbb{R}P^n$. These are sets whose sections by any (l+1)-dimensional space L' containing L are convex and concavely depend on L'. We introduce an L-duality for these sets, and prove that the L-dual to an L-…

Personalized pricing analytics is becoming an essential tool in retailing. Upon observing the personalized information of each arriving customer, the firm needs to set a price accordingly based on the covariates such as income, education background, past purchasing history to extract more revenue. For new entrants of t…

Geodesic concavity and hypersymplectic structures in $G2$-structures space.