3 papers
econ.GN2017
Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves
Rupert Way, François Lafond, Fabrizio Lillo +2
We consider how to optimally allocate investments in a portfolio of competing technologies using the standard mean-variance framework of portfolio theory. We assume that technologi…
nlin.CD2011
Complex dynamics in learning complicated games
Tobias Galla, J. Doyne Farmer
Game theory is the standard tool used to model strategic interactions in evolutionary biology and social science. Traditional game theory studies the equilibria of simple games. Bu…
q-fin.TR2009
Market impact and trading profile of large trading orders in stock markets
Esteban Moro, Javier Vicente, Luis G. Moyano +5
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These…