in searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, eur-usd, usd-jpy, and eur-jpy. there are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc. historical daily fx rates were gathered since january 1990 until february 2011. monthly covariances between daily growth rat...

with considering a ‘triangle of three major currency pairs’, there is a tiny difference between multiplication of exchange rate for the first two currency pairs and the third. to discover whether this little difference can lead to a neutral arbitrage or not, i took portfolios of 35 baskets of three major currency pairs(combinations of all 7 major currencies). there are eight approaches (differe...

In private values quasi-linear environment, we consider problems where allocation decisions along multiple components have to be made. Every agent has additively separable valuation over the components. We show that every neutral and dominant strategy implementable allocation rule in this problem is a neutral component affine maximizer, which assigns non-negative weight vectors to agents in eac...

We extend the notions of evolutionary stability and neutral stability to asymmetric games played between two populations. Assuming that a single strategy is initially played in each population, we consider the simultaneous entry of small proportions of mutants into both populations. The originally played strategy pair is called neutrally stable if the mutants cannot spread. For bimatrix games, ...

This paper studies the performance of delta-neutral hedging strategies on meme stocks under Black-Scholes-Model to help investors find possibilities reducing risk caused by high volatility in stock trading. In study, one most followed individual r/wallstreetbets forum-GameStop (GME)-is selected as underlying, and data 10 options with different strike prices short term are collected daily implie...