We construct the inverse partition semigroup IPX , isomorphic to the dual symmetric inverse monoid I∗ X , introduced in [6]. We give a convenient geometric illustration for elements of IPX . We describe all maximal subsemigroups of IPX and find a generating set for IPX when X is finite. We prove that all the automorphisms of IPX are inner. We show how to embed the symmetric inverse semigroup in...

In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets to achieve desired positions. A major source of the execution cost comes from price impacts of both the investor’s own trades and other concurrent institutional trades. Indeed price impact of large trades have been considered as one of the main reasons fo...

We examine the conditions under which competitive equilibria can be obtained as the limit, when the number of strategic traders gets large, of Nash equilibria in economies with asymmetric information on agents' e ort and possibly imperfect observability of agents' trades. Convergence always occur when either e ort is publicly observed (no matter what is the information available to intermediari...

This paper studies international portfolio ßows of US investors to examine the information structure of international equity markets. Based on a model of portfolio choice with both public and private information, we propose new empirical measures of trades due to private information. We show that these trades help explain the cross section of international equity returns, after controlling for ...

Structural multiplicity has a significant effect on the solution of an MINLP model for process synthesis problems. The optimization model may also have built-in redundancy that cannot always be directly derived from the multiplicity of the superstructure. A basic GDP representation (BGR) involving logical relations is defined, and can be constructed by applying a standard natural representation...

Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular data. For each stock captures degree overlap among any two investors in that stock. investigate effect crowded on price stability and show has causal properties tails return distribution, particularly positive tail, even after c...