Incentives for Model Calibration on Decentralized Derivatives Exchanges

Incentives for Model Calibration on Decentralized Derivatives Exchanges
Author: David Siska
Publisher:
Total Pages: 15
Release: 2020
Genre:
ISBN:

We consider the problem of risk model calibration that is faced by all decentralized derivative exchanges. Financial model calibration is hard for two reasons: firstly it relies on data inputs that can be unreliable, incorrect and in general needing manual cleaning. Secondly, even if perfectly correct data is available the problem typically involves non-convex minimization resulting in local minima that are moreover highly dependent on small perturbations to input. Thus even honest parties won't necessarily produce the same parameters. On a decentralized exchange multiple parties need to agree on the correct calibration. Moreover, malicious actors may benefit in providing calibration parameters that benefit their trading, in case they can convince others that their calibration is the right one. Effectively we have a problem of trying to achieve consensus in continuum.We propose a phenomenological model for the problem. We analyse this in the framework of stochastic differential games and we show that a Nash equilibrium exists. We present empirical results for simple situations that arise when the risk model is assumed to be a linear function of calibration parameters.

Commodity Price Dynamics

Commodity Price Dynamics
Author: Craig Pirrong
Publisher: Cambridge University Press
Total Pages: 239
Release: 2011-10-31
Genre: Business & Economics
ISBN: 1139501976

Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance
Author: Shu-Heng Chen
Publisher: Oxford University Press
Total Pages: 785
Release: 2018-01-12
Genre: Business & Economics
ISBN: 0190877502

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

The Economics of Cryptocurrencies

The Economics of Cryptocurrencies
Author: J. Mark Munoz
Publisher: Routledge
Total Pages: 111
Release: 2020-12-03
Genre: Business & Economics
ISBN: 0429575688

Cryptocurrencies have had a profound effect on financial markets worldwide. This edited book aims to explore the economic implications of the use of cryptocurrencies. Drawing from chapter contributors from around the world, the book will be a valuable resource on the economics of cryptocurrencies. The intended audience is composed of academics, corporate leaders, entrepreneurs, government leaders, consultants and policy makers worldwide. Over the past few years, the topic of cryptocurrencies has gained global attention and has been the subject of discussion in various news media, in policy-making bodies and government entities, and in financial institutions, classrooms and boardrooms. Despite widespread interest, much remains unknown on what the economic implications of cryptocurrencies are. This book enhances the reader’s understanding of cryptocurrencies, its impact on industry and its implications on the political and economic environment. Drawing from chapter contributions from leading academics and thought leaders from around the world, this book is the definitive guide on the economics of cryptocurrencies. There is scarcity of well conceived, academically grounded literature on the impact of cryptocurrencies on industry, politics and economics. This pioneering book provides up-to-date and in-depth analysis on the subject. The book will be appealing to academic communities, business professionals and entrepreneurs in their quest for better understanding the challenges and opportunities brought about by cryptocurrencies. Consultants, government officials and policy makers will find the information helpful in defining strategic pathways into the future.

Blockchain Economics and Financial Market Innovation

Blockchain Economics and Financial Market Innovation
Author: Umit Hacioglu
Publisher: Springer Nature
Total Pages: 568
Release: 2019-12-03
Genre: Business & Economics
ISBN: 3030252752

This book discusses various aspects of blockchains in economic systems and investment strategies in crypto markets. It first addresses the topic from a conceptual and theoretical point of view, and then analyzes it from an assessment and investment angle. Further, it examines the opportunities and limitations of the taxation of crypto currency, as well as the political implications, such as regulation of speculation with crypto currencies. The book is intended for academicians and students in the fields of economics and finance.

Advancing Land Change Modeling

Advancing Land Change Modeling
Author: National Research Council
Publisher: National Academies Press
Total Pages: 267
Release: 2014-03-31
Genre: Science
ISBN: 0309288363

People are constantly changing the land surface through construction, agriculture, energy production, and other activities. Changes both in how land is used by people (land use) and in the vegetation, rock, buildings, and other physical material that cover the Earth's surface (land cover) can be described and future land change can be projected using land-change models (LCMs). LCMs are a key means for understanding how humans are reshaping the Earth's surface in the past and present, for forecasting future landscape conditions, and for developing policies to manage our use of resources and the environment at scales ranging from an individual parcel of land in a city to vast expanses of forests around the world. Advancing Land Change Modeling: Opportunities and Research Requirements describes various LCM approaches, suggests guidance for their appropriate application, and makes recommendations to improve the integration of observation strategies into the models. This report provides a summary and evaluation of several modeling approaches, and their theoretical and empirical underpinnings, relative to complex land-change dynamics and processes, and identifies several opportunities for further advancing the science, data, and cyberinfrastructure involved in the LCM enterprise. Because of the numerous models available, the report focuses on describing the categories of approaches used along with selected examples, rather than providing a review of specific models. Additionally, because all modeling approaches have relative strengths and weaknesses, the report compares these relative to different purposes. Advancing Land Change Modeling's recommendations for assessment of future data and research needs will enable model outputs to better assist the science, policy, and decisionsupport communities.

Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications

Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications
Author: Samuel N. Cohen
Publisher: Springer Nature
Total Pages: 303
Release: 2019-08-31
Genre: Mathematics
ISBN: 3030222853

This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics. This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.

Dark Markets

Dark Markets
Author: Darrell Duffie
Publisher: Princeton University Press
Total Pages: 115
Release: 2012-01-08
Genre: Business & Economics
ISBN: 0691138966

This book offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field.

Robust Mechanism Design

Robust Mechanism Design
Author: Dirk Bergemann
Publisher: World Scientific
Total Pages: 471
Release: 2012
Genre: Business & Economics
ISBN: 981437458X

Foreword by Eric Maskin (Nobel Laureate in Economics, 2007)This volume brings together the collected contributions on the theme of robust mechanism design and robust implementation that Dirk Bergemann and Stephen Morris have been working on for the past decade. The collection is preceded by a comprehensive introductory essay, specifically written for this volume with the aim of providing the readers with an overview of the research agenda pursued in the collected papers.The introduction selectively presents the main results of the papers, and attempts to illustrate many of them in terms of a common and canonical example, namely a single unit auction with interdependent values. It is our hope that the use of this example facilitates the presentation of the results and that it brings the main insights within the context of an important economic mechanism, namely the generalized second price auction.