Mathematical FinanceVolume 33, Issue 1 p. 16-18 OBITUARY Marco Avellaneda: Mathematician and trader Jim Gatheral, Corresponding Author Gatheral [email protected] orcid.org/0000-0002-0192-8797 Department of Mathematics, Baruch College, New York, USA Correspondence Mathematics Box B6-230, College One Bernard Way NY 10010, USA. Email: protected]Search for more papers by this author First published...

Although there are various methods and models of agent’s behaviour in emergencies, the problem of the synthesis of the optimal control systems, which can support best evolution strategies for agent-rescuers in emergency characterized by a high level of an uncertainty, is still needed. We developed the simulation of agent-rescuers behaviour in emergencies and proposed an effective modified fuzzy...

This paper studies a risk-sharing model where traders face endowment shocks and information asymmetries. We show that a negative participation externality arises due to the endogenous information aggregation by prices, and it creates a counter force to a standard positive externality of risk-sharing. As a result, the optimal market size that maximizes gains from trade per trader is finite. The ...

We consider the problem of stock repurchase over a finite time horizon. We assume that a firm has a reservation price for the stock, which is the highest price that the firm is willing to pay to repurchase its own stock. We characterize the optimal policy for the trader to maximize the total number of shares he can buy over a fixed time horizon. In particular, we study a greedy policy, which in...

We discuss a method for predicting financial movements and finding pockets of predictability in the price-series, which is built around inferring the heterogeneity of trading strategies in a multi-agent trader population. This work explores extensions to our previous framework (arXiv:physics/0506134). Here we allow for more intelligent agents possessing a richer strategy set, and we no longer c...

Platform and Transformations for Model-Driven Service-Oriented Development João Paulo A. Almeida, Luís Ferreira Pires, Marten van Sinderen Telematica Instituut, P.O. Box 589, 7500 AN Enschede, The Netherlands [email protected] Centre for Telematics and Information Technology, University of Twente, P.O. Box 217, 7500AE, Enschede, The Netherlands {l.ferreirapires, m.j.sinderen}@ewi.utwen...

The dynamic version of the Glosten and Milgrom (1985) model of asset pricing with asymmetric information is studied. It is shown that there is a unique equilibrium when the next-period value function of the informed trader, who knows the terminal value of the asset, is strictly convex and strictly monotone in terms of the market maker’s prior belief. A characterization of the bid and ask prices...