Incorporating statistical model error into the calculation of acceptability prices of contingent claims

The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However, the model for the underlying asset price process is typically based on data and found by a statistical estimation procedure. We define a confidence set of possible estimated models by a nonparametric neighborhood of a baseline model. This neighborhood serves as ambiguity set for a multi-stage stochastic optimization problem under model uncertainty. We obtain distributionally robust solutions of the acceptability pricing problem and derive the dual problem formulation. Moreover, we prove a general large deviations result for the nested distance, which allows to relate the bid and ask prices under model ambiguity to the quality of the observed data.Comment: 27 pages, 2 figure

Bounded Delay Scheduling with Packet Dependencies

A common situation occurring when dealing with multimedia traffic is having large data frames fragmented into smaller IP packets, and having these packets sent independently through the network. For real-time multimedia traffic, dropping even few packets of a frame may render the entire frame useless. Such traffic is usually modeled as having {\em inter-packet dependencies}. We study the problem of scheduling traffic with such dependencies, where each packet has a deadline by which it should arrive at its destination. Such deadlines are common for real-time multimedia applications, and are derived from stringent delay constraints posed by the application. The figure of merit in such environments is maximizing the system's {\em goodput}, namely, the number of frames successfully delivered. We study online algorithms for the problem of maximizing goodput of delay-bounded traffic with inter-packet dependencies, and use competitive analysis to evaluate their performance. We present competitive algorithms for the problem, as well as matching lower bounds that are tight up to a constant factor. We further present the results of a simulation study which further validates our algorithmic approach and shows that insights arising from our analysis are indeed manifested in practice

Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance

The production and consumption of information about Bitcoin and other digital-, or 'crypto'-, currencies have grown together with their market capitalisation. However, a systematic investigation of the relationship between online attention and market dynamics, across multiple digital currencies, is still lacking. Here, we quantify the interplay between the attention towards digital currencies in Wikipedia and their market performance. We consider the entire edit history of currency-related pages, and their view history from July 2015. First, we quantify the evolution of the cryptocurrency presence in Wikipedia by analysing the editorial activity and the network of co-edited pages. We find that a small community of tightly connected editors is responsible for most of the production of information about cryptocurrencies in Wikipedia. Then, we show that a simple trading strategy informed by Wikipedia views performs better, in terms of returns on investment, than classic baseline strategies for most of the covered period. Our results contribute to the recent literature on the interplay between online information and investment markets, and we anticipate it will be of interest for researchers as well as investors