A popular theory of markets is that they are efficient: all available information is deemed to provide an accurate valuation of an asset at any time. In this paper, we consider ho...
Stock market prediction has always been one of the hottest topics in research, as well as a great challenge due to its complex and volatile nature. However, most of the existing me...
We consider (prediction) markets where myopic agents sequentially interact with an automated market maker. We show a broad negative result: by varying the order of participation, ...
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...
— The paper proposes a mathematical model for the dynamic evolution of supply, demand, and clearing prices under a class of real-time pricing mechanisms characterized by passing ...
Mardavij Roozbehani, Munther Dahleh, Sanjoy K. Mit...