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The Markovian Price of Information [article]

Anupam Gupta, Haotian Jiang, Ziv Scully, Sahil Singla
2019 arXiv   pre-print
In this paper we introduce a Markovian price of information model to capture settings such as the above, where the input parameters of a combinatorial optimization problem are given via Markov chains.  ...  We design optimal/approximation algorithms that jointly optimize the value of the combinatorial problem and the total paid price.  ...  To study aspects (i) and (ii) together, in §2 we propose the Markovian Price of Information (Markovian PoI) model. The Markovian PoI model unifies prior models which address (i) or (ii) alone.  ... 
arXiv:1902.07856v1 fatcat:g3zb5a3iozh6pavxwbvfy3dkjm

Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching

Ling Zhang
2014 Mathematical Problems in Engineering  
An investor can only observe the prices of the asset and liability and the dynamics of the unobservable states of the underlying financial market is described by a hidden Markovian chain.  ...  The price of the risky asset is assumed to be governed by a hidden Markovian regime switching geometric Brownian motion and the liability is assumed to follow a hidden Markovian regime switching Brownian  ...  GD12XYJ06), the State Key Program of National Natural Science of China (no. 71231008), and the Foundation of Guangdong University of Finance (no. 12XJ02-10).  ... 
doi:10.1155/2014/140140 fatcat:lnqxhdpsvjccdprbj4ndgr4mam

Modeling the commodity prices of base metals in Indian commodity market using a Higher Order Markovian Approach [article]

Suryadeepto Nag, Sankarshan Basu, Siddhartha P. Chakrabarty
2020 arXiv   pre-print
A Higher Order Markovian (HOM) model to capture the dynamics of commodity prices is proposed as an alternative to a Markovian model.  ...  In particular, the order of the former model, is taken to be the delay, in the response of the industry, to the market information.  ...  CONCLUSION The main contribution of this work is the presentation of our approach to the modeling of commodity prices, using the Higher Order Markovian method, as an improved alternative to the Markovian  ... 
arXiv:2010.03350v1 fatcat:mcbpserhqbbungrib6izqeotde

Collusion Among Firms with Short-Lived Members

Munetomo Ando, Hajime Kobayashi
2004 Social Science Research Network  
We show that if each firm consists of more than two generations, the strategy is implementable with a type of seniority system under both price and quantity competition; if the firm consists of only two  ...  generations, the strategy under price competition is implementable, while that under quantity competition is not.  ...  Whereas the standard grim-trigger strategy requires information on the entire history of firms' actions, the Markovian trigger strategy requires information only on the preceding period.  ... 
doi:10.2139/ssrn.511603 fatcat:tkcet6wr5rhbjjybdejrvr5ko4

Price Formation Modelling by Continuous - Time Random Walk: An Empirical Study

Frédéric Délèze, Department of Finance and Statistics , Hanken School of Economics, P.O. Box 479, FI - 00101, Helsinki, Finland, Sergey Osmekhin, Department of Finance and Statistics , Hanken School of Economics, P.O. Box 479, FI - 00101, Helsinki, Finland
2015 Journal of Engineering Science and Technology Review  
Markovian and non--Markovian models are presented to model the futures market price formation.  ...  This study tests analytical solutions and present numerical results for the probability density function of the continuous-time random walk using tick--by--tick quotes prices for the DAX 30 index futures  ...  As the waiting-time distribution conveys relevant information about price formation we can expect the non-Markovian approach to outperform the memoryless model.  ... 
doi:10.25103/jestr.081.03 fatcat:cic4a3fsfneylfxfjxfnje7hti

Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information [article]

Albina Danilova
2016 arXiv   pre-print
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information.  ...  I provide a characterization of all optimal strategies, and prove existence of both Markovian and non Markovian equilibria by deriving closed form solutions for the optimal order process of the informed  ...  the case of non Markovian pricing rule.  ... 
arXiv:1607.00035v1 fatcat:ajg3sedmgndxfltgryh5ntia2i

Quantum Brownian motion model for the stock market

Xiangyi Meng, Jian-Wei Zhang, Hong Guo
2016 Physica A: Statistical Mechanics and its Applications  
We analyze real stock data of Shanghai Stock Exchange of China and investigate fat-tail phenomena and non-Markovian behaviors of the stock index with the assistance of the quantum Brownian motion model  ...  , thereby interpreting and studying the limitations of the classical Brownian motion model for the efficient market hypothesis from a new perspective of quantum open system dynamics.  ...  Also we acknowledge the financial support by the Challenge Cup Technology Engineering Office of Peking University.  ... 
doi:10.1016/j.physa.2016.02.026 fatcat:gjupbvbhg5di7o5nbeky4h2mwe

Markovian approximation in foreign exchange markets

Roberto Baviera, Davide Vergni, Angelo Vulpiani
2000 Physica A: Statistical Mechanics and its Applications  
Besides the usual correlation analysis we have verified the validity of this model by means of other approaches inspired by information theory .  ...  Then we propose a stochastic model for price variation which is able to describe some important features of the exchange market behavior.  ...  ., where prices re ect the whole information, suggests that returns are independently distributed.  ... 
doi:10.1016/s0378-4371(00)00094-7 fatcat:i7nb7gnptve45bozgwcoz5cfoe

Markovian Approach to Stock Price Modelling in the Nigerian Oil and Gas Sector

Adekunle S. Ayo, Eboigbe S. Uwabor
2021 Central Bank of Nigeria Journal of Applied Statistics  
The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model.  ...  Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to move to another state  ...  on the information level reflected in the prices.  ... 
doi:10.33429/cjas.12121.2/6 fatcat:lb25zo2uzbbgplk34aqlkuv6ti

A theoretical analysis of trading rules: an application to the moving average case with Markovian returns

Emmanuel Acar, Stephen E. Satchell
1997 Applied Mathematical Finance  
We then concentrate on moving average trading rules and show, in the case of moving average models of length two, closed form expressions for the characteristic function of realized returns when the underlying  ...  return process follows a switching Markovian Gaussian process.  ...  The point here is that there may be high and low state returns and it may be possible for trading rules to incorporate information which involves (Markovian) information about the next state.  ... 
doi:10.1080/135048697334791 fatcat:uvl42wxvxrfcfl3iyyy33zqwiu

A negotiation aid for fixed-quantity contracts with stochastic demand and production

Thomas A Grossman, Thomas R Rohleder, Edward A. Silver
2000 International Journal of Production Economics  
We use a Markovian approach to create a tool that negotiators can use to evaluate the expected cost of a proposed contract, considering the stochastic demand and all relevant cost components.  ...  Under such a contract the organization agrees to purchase from a supplier a "xed quantity per period over a speci"ed number of periods.  ...  Neither of these total times accounts for changing the input information for each option, which was about 30 seconds for both model types.  ... 
doi:10.1016/s0925-5273(99)00107-3 fatcat:pqlsy62ltjg7vdgikafhkfyvum

Forecasting the forecasts of others: Implications for asset pricing

Igor Makarov, Oleg Rytchkov
2012 Journal of Economic Theory  
We study the properties of rational expectation equilibria (REE) in dynamic asset pricing models with heterogeneously informed agents.  ...  We also demonstrate that even though the serial correlation of returns is predominantly determined by the dynamics of stochastic equity supply, under certain circumstances asymmetric information can generate  ...  Applying the concept of Markovian dynamics to our model with heterogeneous information, we get the main result of the paper.  ... 
doi:10.1016/j.jet.2012.01.020 fatcat:akvjcefmsfg2fb4lermb7krzee

Stock market insider trading in continuous time with imperfect dynamic information

Albina Danilova
2010 Stochastics: An International Journal of Probability and Stochastic Processes  
pricing rule in the non markovian case.  ...  The results of this work are: Existence of unique markovian inconspicuous equilibrium pricing rule and characterization of the optimal insider's strategy when variance of the private signal is lower then  ...  Then there exists an equilibrium and it is given by the weighting function w * (s) = g(s), the pricing rule , and the trading strategy θ * t satisfying θ * 0 = 0 and Therefore optimal informed trader's  ... 
doi:10.1080/17442500903106614 fatcat:2c4k6z5o7va57l2ti6dmcjmdei

Optimal return and rebate mechanism in a closed-loop supply chain game

Talat S. Genc, Pietro De Giovanni
2018 European Journal of Operational Research  
Consumers evaluate the rebate they receive as well as the price of the new product before deciding whether to dump a return.  ...  While we mainly employ Markovian equilibrium, we also allow ...rms to utilize open-loop strategies so as to assess the impact of precommitment on the market outcomes.  ...  However, in the Markovian solution the …rst period wholesale price ! 1 impacts all of the prices.  ... 
doi:10.1016/j.ejor.2018.01.057 fatcat:p4cgmckobjdgjgum7jj6x2vp4u

Bond Risk Premia and Gaussian Term Structure Models

Bruno Feunou, Jean-Sébastien Fontaine
2018 Management science  
Two Mechanisms for Unspanned Information Equation 20 identifies two mechanisms that generate non-Markovian effects in the dynamics of the portfolios P o t .  ...  Non-Markovian effects also arise in a limited-information context even if there exist some Markovian state variables.  ... 
doi:10.1287/mnsc.2016.2602 fatcat:ksgudwbl3fff7mpkp5l25mnefe
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