The use of algorithms in finance and trading has become an increasingly thriving research area, with researchers creating automated and pre programmed trading instructions utilising indicators from technical and sentiment analysis. The indicators of the two analyses have been used mostly individually, despite evidence that their combination can be profitable and financially advantageous. In this paper, we examine the advantages of combining indicators from both technical and sentiment analysis through a novel genetic programming algorithm, named STGP-SATA. Our algorithm introduces technical and sentiment analysis types, through a strongly-typed architecture, whereby the associated tree contains one branch with only technical indicators and another branch with only sentiment analysis indicators. This approach allows for better exploration and exploitation of the search space of the indicators. To evaluate the performance of STGP-SATA we compare it with three other GP variants on three financial metrics, namely Sharpe ratio, rate of return and risk. We furthermore compare STGP-SATA against two financial and four algorithmic benchmarks, namely, multilayer perceptron, support vector machine, extreme gradient boosting, and long short term memory network. Our study shows that the combination of technical and sentiment analysis indicators through STGP-SATA improves the financial performance of the trading strategies and statistically and significantly outperforms the other benchmarks across the three financial metrics.

Abstract. We consider the scheduling problem when no payments are allowed and the machines are bound by their declarations. We are interested in a notion of incentive compatibility, stronger than the (standard) strategy-proofness, termed obviously strategy-proof (OSP), and explore its possibilities and limitations. OSP formalizes the concept of strategy-proofness for agents/machines with a certain kind of bounded rationality by making an agent’s incentives to act truthfully obvious in some sense: roughly speaking, the worst possible outcome after providing information about her true type is at least as good as the best possible outcome after misreporting information about her type. Under the weaker constraint of strategyroofness, Koutsoupias [ Theoret. Comput. Syst., 54 (2014), pp. 375–387] proves a tight approximation ratio of [Formula: see text] for the makespan for one task, under the monitoring paradigm. We wish to examine how this guarantee is affected by the strengthening of the incentive compatibility constraint. The main message of our work is that there is essentially no worsening of the approximation guarantee corresponding to the significant strengthening of the guarantee of incentive compatibility from strategy-proofness to OSP, as long as the mechanism designer can implement a particular notion of monitoring. To achieve this, we introduce the notion of max-monitoring and prove that weaker monitoring frameworks do not suffice, thus providing a complete picture of OSP with monitoring in the context of scheduling a task without money.

This paper proposes a novel strongly typed Genetic Programming (STGP) algorithm that combines Technical (TA) and Sentiment analysis (SA) indicators to produce trading strategies. While TA and SA have been successful when used individually, their combination has not been considered extensively. Our proposed STGP algorithm has a novel fitness function, which rewards not only a tree's trading performance, but also the trading performance of its TA and SA subtrees. To achieve this, the fitness function is equal to the sum of three components: the fitness function for the complete tree, the fitness function of the TA subtree, and the fitness function of the SA subtree. In doing so, we ensure that the evolved trees contain profitable trading strategies that take full advantage of both technical and sentiment analysis. We run experiments on 35 international stocks and compare the STGP's performance to four other GP algorithms, as well as multilayer perceptron, support vector machines, and buy and hold. Results show that the proposed GP algorithm statistically and significantly outperforms all benchmarks and it improves the financial performance of the trading strategies produced by other GP algorithms by up to a factor of two for the median rate of return.

Schelling's famous model of segregation assumes agents of different types, who would like to be located in neighborhoods having at least a certain fraction of agents of the same type. We consider natural generalizations that allow for the possibility of agents being tolerant towards other agents, even if they are not of the same type. In particular, we consider an ordering of the types, and make the realistic assumption that the agents are in principle more tolerant towards agents of types that are closer to their own according to the ordering. Based on this, we study the strategic games induced when the agents aim to maximize their utility for a variety of tolerance levels. We provide a collection of results about the existence of equilibria, and their quality in terms of social welfare.

We consider financial networks, where nodes correspond to banks and directed labeled edges correspond to debt contracts between banks. Maximizing systemic liquidity, i.e., the total money flow, is a natural objective of any financial authority. In particular, the financial authority may offer bailout money to some bank(s) or forgive the debts of others in order to maximize liquidity, and we examine efficient ways to achieve this. We study the computational hardness of finding the optimal debt-removal and budget-constrained optimal bailout policy, respectively, and we investigate the approximation ratio provided by the greedy bailout policy compared to the optimal one. We also study financial systems from a game-theoretic standpoint. We observe that the removal of some incoming debt might be in the best interest of a bank. Assuming that a bank's well-being (i.e., utility) is aligned with the incoming payments they receive from the network, we define and analyze a game among banks who want to maximize their utility by strategically giving up some incoming payments. In addition, we extend the previous game by considering bailout payments. After formally defining the above games, we prove results about the existence and quality of pure Nash equilibria, as well as the computational complexity of finding such equilibria.

Schelling's model considers $k$ types of agents each of whom needs to select a vertex on an undirected graph, where every agent prefers to neighbor agents of the same type. We are motivated by a recent line of work that studies solutions that are optimal with respect to notions related to the welfare of the agents. We explore the parameterized complexity of computing such solutions. We focus on the well-studied notions of social welfare (WO) and Pareto optimality (PO), alongside the recently proposed notions of group-welfare optimality (GWO) and utility-vector optimality (UVO), both of which lie between WO and PO. Firstly, we focus on the fundamental case where $k=2$ and there are $r$ red agents and $b$ blue agents. We show that all solution-notions we consider are $\textsf{NP}$-hard to compute even when $b=1$ and that they are $\textsf{W}[1]$-hard when parameterized by $r$ and $b$. In addition, we show that WO and GWO are $\textsf{NP}$-hard even on cubic graphs. We complement these negative results by an $\textsf{FPT}$ algorithm parameterized by $r, b$ and the maximum degree of the graph. For the general case with $k$ types of agents, we prove that for any of the notions we consider the problem is $\textsf{W}[1]$-hard when parameterized by $k$ for a large family of graphs that includes trees. We accompany these negative results with an $\textsf{XP}$ algorithm parameterized by $k$ and the treewidth of the graph.

With very few exceptions, recent research in fair division has mostly focused on deterministic allocations. Deviating from this trend, we study the fairness notion of interim envy-freeness (iEF) for lotteries over allocations, which serves as a sweet spot between the too stringent notion of ex-post envy-freeness and the very weak notion of ex-ante envy-freeness. iEF is a natural generalization of envy-freeness to random allocations in the sense that a deterministic envy-free allocation is iEF (when viewed as a degenerate lottery). It is also certainly meaningful as it allows for a richer solution space, which includes solutions that are provably better than envy-freeness according to several criteria. Our analysis relates iEF to other fairness notions as well, and reveals tradeoffs between iEF and efficiency. Even though several of our results apply to general fair division problems, we are particularly interested in instances with equal numbers of agents and items where allocations are perfect matchings of the items to the agents. Envy-freeness can be trivially decided and (when it can be achieved, it) implies full efficiency in this setting. Although computing iEF allocations in matching allocation instances is considerably more challenging, we show how to compute them in polynomial time, while also maximizing several efficiency objectives. Our algorithms use the ellipsoid method for linear programming and efficient solutions to a novel variant of the bipartite matching problem as a separation oracle. We also study the extension of interim envy-freeness notion when payments to or from the agents are allowed. We present a series of results on two optimization problems, including a generalization of the classical rent division problem to random allocations using interim envy-freeness as the solution concept.

We consider the setting of combinatorial auctions when the agents are single-minded and have no contingent reasoning skills. We are interested in mechanisms that provide the right incentives to these imperfectly rational agents, and therefore focus our attention to obviously strategyproof (OSP) mechanisms. These mechanisms require that at each point during the execution where an agent is queried to communicate information, it should be "obvious" for the agent what strategy to adopt in order to maximise her utility. In this paper we study the potential of OSP mechanisms with respect to the approximability of the optimal social welfare. We consider two cases depending on whether the desired bundles of the agents are known or unknown to the mechanism. For the case of known-bundle single-minded agents we show that OSP can actually be as powerful as (plain) strategyproofness (SP). In particular, we show that we can implement the very same algorithm used for SP to achieve a √m-approximation of the optimal social welfare with an OSP mechanism, m being the total number of items. Restricting our attention to declaration domains with two values, we provide a 2-approximate OSP mechanism, and prove that this approximation bound is tight. We also present a randomised mechanism that is universally OSP and achieves a finite approximation of the optimal social welfare for the case of arbitrary size finite domains. This mechanism also provides a bounded approximation ratio when the valuations lie in a bounded interval (even if the declaration domain is infinitely large). For the case of unknown-bundle single-minded agents, we show how we can achieve an approximation ratio equal to the size of the largest desired set, in an OSP way. We remark this is the first known application of OSP to multi-dimensional settings, i.e., settings where agents have to declare more than one parameter. Our results paint a rather positive picture regarding the power of OSP mechanisms in this context, particularly for known-bundle single-minded agents. All our results are constructive, and even though some known strategyproof algorithms are used, implementing them in an OSP way is a non-trivial task.

We study the problem of fairly allocating indivisible goods between groups of agents using the recently introduced relaxations of envy-freeness. We consider the existence of fair allocations under different assumptions on the valuations of the agents. In particular, our results cover cases of arbitrary monotonic, responsive, and additive valuations, while for the case of binary valuations we fully characterize the cardinalities of two groups of agents for which a fair allocation can be guaranteed with respect to both envy-freeness up to one good (EF1) and envy-freeness up to any good (EFX). Moreover, we introduce a new model where the agents are not partitioned into groups in advance, but instead the partition can be chosen in conjunction with the allocation of the goods. In this model, we show that for agents with arbitrary monotonic valuations, there is always a partition of the agents into two groups of any given sizes along with an EF1 allocation of the goods. We also provide an extension of this result to any number of groups.

We study the strategic considerations of miners participating in the bitcoin's protocol. We formulate and study the stochastic game that underlies these strategic considerations. The miners collectively build a tree of blocks, and they are paid when they create a node (mine a block) which will end up in the path of the tree that is adopted by all. Since the miners can hide newly mined nodes, they play a game with incomplete information. Here we consider two simplified forms of this game in which the miners have complete information. In the simplest game the miners release every mined block immediately, but are strategic on which blocks to mine. In the second more complicated game, when a block is mined it is announced immediately, but it may not be released so that other miners cannot continue mining from it. A miner not only decides which blocks to mine, but also when to release blocks to other miners. In both games, we show that when the computational power of each miner is relatively small, their best response matches the expected behavior of the bitcoin designer. However, when the computational power of a miner is large, he deviates from the expected behavior, and other Nash equilibria arise.

We study the problem of scheduling m tasks to n selfish, unrelated machines in order to minimize the makespan, where the execution times are independent random variables, identical across machines. We show that the VCG mechanism, which myopically allocates each task to its best machine, achieves an approximation ratio of $$O\left( \frac{\ln n}{\ln \ln n}\right) $$ . This improves significantly on the previously best known bound of $$O\left( \frac{m}{n}\right) $$ for prior-independent mechanisms, given by Chawla et al. [STOC’13] under the additional assumption of Monotone Hazard Rate (MHR) distributions. Although we demonstrate that this is in general tight, if we do maintain the MHR assumption, then we get improved, (small) constant bounds for $$m\ge n\ln n$$ i.i.d. tasks, while we also identify a sufficient condition on the distribution that yields a constant approximation ratio regardless of the number of tasks.

Sponsored search auctions are the main source of revenue for search engines. In such an auction, a set of utility maximizing advertisers competes for a set of ad slots. The assignment of advertisers to slots depends on the bids they submit; these bids may be different than the true valuations of the advertisers for the slots. Variants of the celebrated VCG auction mechanism guarantee that advertisers act truthfully and, under some assumptions, lead to revenue or social welfare maximization. Still, the sponsored search industry mostly uses generalized second price (GSP) auctions; these auctions are known to be nontruthful and suboptimal in terms of social welfare and revenue. In an attempt to explain this tradition, we study a Bayesian setting wherein the valuations of advertisers are drawn independently from a common regular probability distribution. In this setting, it is well known from the work of Myerson [1981] that the optimal revenue is obtained by the VCG mechanism with a particular reserve price that depends on the probability distribution. We show that, by appropriately setting the reserve price, the revenue over any Bayes-Nash equilibrium of the game induced by the GSP auction is at most a small constant factor away from the optimal revenue, improving previous results of Lucier et al. [2012]. Our analysis is based on the Bayes-Nash equilibrium conditions and the improved results are obtained by bounding the utility of each player at equilibrium using infinitely many deviating bids and also by developing novel prophet-like inequalities.

In sponsored search auctions, advertisers compete for a number of available advertisement slots of different quality. The auctioneer decides the allocation of advertisers to slots using bids provided by them. Since the advertisers may act strategically and submit their bids in order to maximize their individual objectives, such an auction naturally defines a strategic game among the advertisers. In order to quantify the efficiency of outcomes in generalized second price auctions, we study the corresponding games and present new bounds on their price of anarchy, improving the recent results of Paes Leme and Tardos [16] and Lucier and Paes Leme [13]. For the full information setting, we prove a surprisingly low upper bound of 1.282 on the price of anarchy over pure Nash equilibria. Given the existing lower bounds, this bound denotes that the number of advertisers has almost no impact on the price of anarchy. The proof exploits the equilibrium conditions developed in [16] and follows by a detailed reasoning about the structure of equilibria and a novel relation of the price of anarchy to the objective value of a compact mathematical program. For more general equilibrium classes (i.e., mixed Nash, correlated, and coarse correlated equilibria), we present an upper bound of 2.310 on the price of anarchy. We also consider the setting where advertisers have incomplete information about their competitors and prove a price of anarchy upper bound of 3.037 over Bayes-Nash equilibria. In order to obtain the last two bounds, we adapt techniques of Lucier and Paes Leme [13] and significantly extend them with new arguments.