Power control can significantly enhance the performance of congestion control mechanisms, such as TCP, in wireless networks. We present a distributed power control algorithm that works together with the original TCP protocol to increase endto-end throughput and energy efficiency of multihop data transmissions in CDMA wireless ad hoc networks. We prove that the resulted nonlinear coupled system ...

We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Kallsen and MuhleKarbe [Ann. Appl. Probab., 20, 2010] for optimal consumption over an infinite horizon, we tackle this problem by determining a shadow price, which is the solution of the dual problem....

P innovation is the key revenue driver in the motion picture industry. Because major studios typically launch fewer than 20 movies per year, the financial performance of a single release can have a major effect on the studio’s profitability. In this paper we study how single movie releases impact the investor valuation of the studio. We analyze the change in postlaunch stock price and predict t...

We propose a mathematical model for one pattern of charts studied in technical analysis: in a phase of consolidation, the price of a risky asset goes down ξ times after hitting a resistance level. We construct a mathematical strategy and we calculate the expectation of the wealth for the logaritmic utility function. Via simulations, we compare the strategy with the standard one.

A stricter merger control policy increases the expectation of future price competition. In response, firms increase product differentiation to sustain higher prices. Failing to account for such policy-variant prices may lead to overestimation of the increase in consumer surplus due to the stricter merger policy, rendering the policy analysis subject to the Lucas Critique. D 2004 Elsevier B.V. A...

The prices of the option and futures of a stock both reflect the market’s expectation of futures trends of the stock’s price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able to buy (sell) options on one hand, and sell (buy) futures on the other and make risk-free profits. In...

We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their “neighbors” and on a random signal about the “mood of the market.” We analyze the asymptotics of both aggregate behavior and asset prices. We give...

We propose a simple and intuitive cost mechanism which assigns costs for the competitive usage of m resources by n selfish agents. Each agent has an individual demand; demands are drawn according to some probability distribution. The cost paid by an agent for a resource she chooses is the total demand put on the resource divided by the number of agents who chose that same resource. So, resource...

This paper proposes a methodology for predicting a change in stock prices trends for the time immediately following the publishing of quarterly reports. The methodology consists of three components. The first component benchmarks companies from the same line of business based on their financial ratios. The second component retrieves quarterly reports that share common patterns. The third compon...

The focus for the Centre is research into individual and strategic decision-making using a combination of theoretical and experimental methods. On the theory side, members of the Centre investigate individual choice under uncertainty, cooperative and non-cooperative game theory, as well as theories of psychology, bounded rationality and evolutionary game theory. Members of the Centre have appli...