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In this paper, we consider the problem of Pareto optimal allocation in a general framework, involving preference functionals defined on a general real vector space. The optimization problem is equivalent to a modified sup-convolution of the different agents' preference functionals. The results are then applied to a multi-period setting and some further(More)
We study the profitability of traders in two fully electronic and highly liquid markets: the Dow and Standard & Poor's 500 e-mini futures markets. Using unique information that identify counterparties to a transaction, we show and seek to explain the fact that the network pattern of trades captures the relations between behavior in the market and returns.(More)
Game options are American-type options with the additional property that the seller of the option has the right the cancel the option at any time prior to the buyer exercise or the expiration date of the option. The cancelation by the seller can be achieved through a payment of an additional penalty to the exercise payoff or using a payoff process greater(More)
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