On the Szeg\"o-Asymptotics for Doubly-Dispersive Gaussian Channels

We consider the time-continuous doubly-dispersive channel with additive Gaussian noise and establish a capacity formula for the case where the channel correlation operator is represented by a symbol which is periodic in time and fulfills some further integrability and smoothness conditions. The key to this result is a new Szeg\"o formula for certain pseudo-differential operators. The formula justifies the water-filling principle along time and frequency in terms of the time--continuous time-varying transfer function (the symbol).Comment: 5 pages, to be presented at ISIT 2011, minor typos corrected, references update

Communication Strategies for Low-Latency Trading

The possibility of latency arbitrage in financial markets has led to the deployment of high-speed communication links between distant financial centers. These links are noisy and so there is a need for coding. In this paper, we develop a gametheoretic model of trading behavior where two traders compete to capture latency arbitrage opportunities using binary signalling. Different coding schemes are strategies that trade off between reliability and latency. When one trader has a better channel, the second trader should not compete. With statistically identical channels, we find there are two different regimes of channel noise for which: there is a unique Nash equilibrium yielding ties; and there are two Nash equilibria with different winners.Comment: Will appear in IEEE International Symposium on Information Theory (ISIT), 201