264 citations · 331 across the 13 of their papers we have counts for
9 papers · 1 filter
Caratheodory II: The Geometry of Financial Irreversibility
Bernhard K Meister
In quantum mechanics and finance, numeraire invariance - the unobservability of absolute phase or price scale - fits with a projective and curved state space. This projective geome…
Market Dynamics of Information Avalanches
Bernhard K Meister
Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche,…
Caratheodory, Finite Resources and the Geometry of Arbitrage
B. K. Meister
Caratheodory's axiom of adiabatic inaccessibility states that, in any neighborhood of a thermodynamic state, certain states remain unreachable via adiabatic processes. Non-arbitrag…
Automated Liquidity: Market Impact, Cycles, and De-pegging Risk
B. K. Meister
Three traits of decentralized finance are studied. First, the market impact function is derived for optimal-growth liquidity providers. For a standard random walk, the classic squa…
Application of the Kelly Criterion to Prediction Markets
Bernhard K Meister
Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments…
Gas Fees on the Ethereum Blockchain: From Foundations to Derivatives Valuations
Bernhard K Meister, Henry CW Price
The gas fee, paid for inclusion in the blockchain, is analyzed in two parts. First, we consider how effort in terms of resources required to process and store a transaction turns i…
Gambling the World Away: Myopic Investors
Bernhard K Meister
Myopic investors are locally rational decision-makers but globally irrational. Their suboptimal portfolios lag the market. As a consequence, other market participants are provided…
NFTs: The Game is Afoot
Bernhard K Meister, Henry CW Price
On the blockchain, NFT games have risen in popularity, spawning new types of digital assets. We present a simplified version of well-known NFT games, followed by a discussion of is…
Meta-CTA Trading Strategies and Rational Market Failures
Bernhard K Meister
Investors trade shifting prices, portfolio values, and in turn their ability to borrow. Concentrated ownership, high price impact and low collateral requirements are propitious for…