We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has perfect foresight of future asset prices, given by a continuous semimartingale. Such an arbitrage strategy can be constructed as a process of finite variation that satisfies a seemingly inno...

An Object-Z formal speci cation of the ODP Trader is presented which concisely captures the hierarchical context structure, the distribution of information and the communication aspects of the Trader. Particular use is made of generic classes, class inheritance and object aggregation (i.e. the instantiation of collections of similar objects) to give a structured speci cation that can be readily...

An Object-Z formal speciication of the ODP Trader is presented which concisely captures the hierarchical context structure, the distribution of information and the communication aspects of the Trader. Particular use is made of generic classes, class inheritance and object aggregation (i.e. the instantiation of collections of similar objects) to give a structured speciication that can be readily...

Two sides of a finite marriage market engage in costly investment and are then matched assortatively. The purpose of the investment is solely to improve the quality of the match that the trader can attain in the second stage. The paper studies the limits of equilibrium of these finite matching games as the number of traders gets large. It is shown that mixed Nash equilibria in the finite games ...

We present a universal method for algorithmic trading in Stock Market which performs asymptotically at least as well as any stationary trading strategy that computes the investment at each step using a continuous function of the side information. In the process of the game, a trader makes decisions using predictions computed by a randomized well-calibrated algorithm. We use Dawid’s notion of ca...

The paper considers the problem of maximizing the profits of a trader operating in the Italian electricity market. The problem consists in selecting the contracts portfolio and define the bidding strategy in the wholesales market while respecting the technical and regulatory constraints. A novel solution method based on a enhanced discovery of the search domain in the simulated annealing techni...