arXiv subjects

Frank M. V. Feys

Publications and source records attributed to Frank M. V. Feys.

7 recordsLinked to original sources

arXiv2026

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making

In inventory market making, the running-penalty coefficient $ϕ$ of the Cartea-Jaimungal framework and the risk-aversion parameter $γ$ of the Avellaneda-Stoikov framework are typically treated as independent free parameters, calibrated separately. We show that they are in fact not independent. A small set of axioms on the market maker's dynamic preference functional, namely cash-additivity, normalization, concavity, strong dynamic consistency, and law-invariance, forces the preference functional to be the entropic certainty-equivalent on liquidation-adjusted terminal wealth, parametrized by a single positive scalar $γ$. The Avellaneda-Stoikov framework is the unique representative of this axiom class. The Cartea-Jaimungal framework is its second-order Taylor expansion in inventory magnitude, with the running coefficient forced to $ϕ= γσ^2/2$ and (under a mild regularity condition on the liquidation cost) the terminal coefficient forced to $α= \frac{1}{2}L''(0)$. The two frameworks, typically presented as competing alternatives with the choice between them driven by tractability, are different manifestations of a single underlying object. The forced relation is invertible, $γ= 2ϕ/σ^2$, giving a consistency cross-check on independently calibrated desk parameters.

q-fin.MF↗

arXiv2026

Axiomatic Market Making

This paper axiomatizes the bid-ask market maker's quoting rule. A quoting rule maps the maker's state, namely inventory, belief, variance, trade intensity, and informed-trader fraction, to a bid-ask pair. Eight natural axioms, together with six environmental assumptions on the maker's inventory cost, force a unique three-parameter family: the mid-quote is linear in inventory, and the spread decomposes additively into inventory and adverse-selection components. Each of the three parameters is identified from a distinct moment of the observable quoting rule, with the three identifications mutually decoupled. The eight axioms partition into a four-axiom indispensable core, one structural choice, and three modularity extensions. Two structural corollaries follow: the latent inventory cost function is recoverable from the limit order book, and a sharp phase transition separates a functioning regime from a frozen one. A closing meta-theorem identifies four features invariant across all admissible structural primitives within the axiom system. To our knowledge, this is the first forced-uniqueness axiomatization of the quoting rule.

q-fin.MF↗

arXiv2026

Fairness and Strategy-Proofness in Automated Market Makers

No deployed automated market maker lets its liquidity providers vote on the trading function. We show this is structural, not an oversight. On the weighted-product family with $n \geq 3$ assets, no aggregation rule is at once fair and strategy-proof. Arrovian fairness forces a unique form, the weighted Aitchison centroid, the weighted geometric mean of the providers' preferred pools. But fairness forces mean-type aggregation and strategy-proofness forces median-type, and the only rule that is both is a single-provider dictator. The obstruction is sharp: it vanishes at $n = 2$, where a fair strategy-proof rule exists. Under the Frongillo--Papireddygari--Waggoner equivalence, the centroid is Genest's logarithmic opinion pool, and the impossibility transfers to externally Bayesian pooling.

cs.GT↗

arXiv2026

The Arithmetic of Chess Piece Strength on the n x n Board

On the n x n chessboard, the move totals of distinct pieces satisfy a small number of striking arithmetic identities. The total diagonal mobility of the bishop and the total 8-neighbor mobility of the king are exactly proportional, with constant n/12, valid for every n. Among nontrivial boards, the strengths of two distinct pieces drawn from a natural thirteen-piece alphabet coincide only for n in {6, 8, 12}. We define the strength of a piece P on the n x n board as the probability that a uniformly random ordered pair of distinct squares forms a legal P-move on the empty board, and prove four main results. (1) An asymptotic dichotomy classifies pieces into riders (Theta(1/n) strength) and leapers (Theta(1/n^2) strength), with explicit rational leading constants. (2) A stable-ordering theorem identifies the threshold n* = 24 beyond which the strength order becomes fixed, with a complete tabulation of every transition for 4 <= n <= 24. (3) A complete classification of strength coincidences shows they occur only at the three magic boards n in {6, 8, 12}, accompanied by the closed-form identity str(K) - str(N) = 12/(n^2(n+1)), the unique near-coincidence between bishop and knight at n = 10 (gap 0.0606%), and the bishop-king proportionality str(B)/str(K) = n/12. (4) A Strength Algebra Theorem expresses the strength of any compound army as a linear functional of a four-dimensional atomic vector, and confines strength coincidences between distinct single pieces to the three magic boards. As immediate consequences we obtain explicit strength-preserving single-piece substitution rules on each magic board, and a characterization of the 8 x 8 board as the unique nontrivial board on which the rook attains a strength matched by another piece in the alphabet (the archbishop).

math.GM↗

arXiv2026

An Axiomatic Theory of Tie-Breaking: Impossibility, Characterization, and Decomposition

We develop an abstract axiomatic theory of tie-breaking. A tie-breaking input consists of a finite set N of players, a weak order on N representing the standings to be refined, and an auxiliary information item drawn from a set on which the symmetric group Sym(N) acts. Within this minimal framework we prove three theorems. First, no tie-breaking rule producing a strict linear order can be anonymous, provided the input space contains even one intrinsically symmetric situation, a condition met in essentially every realistic application. Second, when we allow the rule to output a partition of N (rather than a strict ranking), there is a unique rule satisfying two natural axioms: it is the partition of N into orbits of the joint stabilizer of the input. Third, every reasonable strict tie-breaking rule decomposes uniquely as the canonical orbit partition followed by an arbitrary completion. The decomposition makes precise the informal observation that real tie-breaking systems are honest until forced to be arbitrary. The framework is broad enough to capture chess tournament tie-breakers, sports league regulations, voting tie-breakers, tie-breaking among symmetric players in cooperative games, and ranking by network centrality measures, all within a single uniform formalism.

cs.GT↗

arXiv2026

The Geometry of Cooperative Game Solutions: Stratified Egalitarian Shapley Values

The space L of linear value maps on a finite-player cooperative game G^N is finite-dimensional, and admits a canonical inner product induced by the Harsanyi-dividend decomposition of G^N. We show that this inner product is intrinsic: the same value arises from any orthonormal basis of G^N with respect to the Harsanyi inner product. Within this geometry, the subspace L^{ESL} of efficient, symmetric, linear value maps admits a clean structure theorem. The induced orthogonal stratification of L by coalition size yields a canonical linear isomorphism L^{ESL} = R^{n-1}, under which every efficient symmetric linear value map decomposes uniquely into n-1 stratified epsilons, one per coalition size. The classical egalitarian Shapley family of Joosten (1996) is precisely the diagonal slice of this R^{n-1}. The orthogonal projection of any Psi in L^{ESL} onto this diagonal yields an optimal parameter eps*(Psi) equal to the weighted mean of the stratified epsilons under an explicit probability distribution {w_a} over coalition sizes, and the goodness-of-fit R^2(Psi) equals one minus the relative weighted variance of those epsilons. The framework is a literal regression-statistics analogue of the coefficient of determination. At n=4 it produces a clean three-way classification of the standard alternatives to the Shapley value: the Banzhaf value is nearly orthogonal to the egalitarian Shapley axis (R^2 ~ 1%); the equal-surplus-division value is moderately aligned (R^2 ~ 38%); the solidarity value is almost entirely aligned (R^2 ~ 99.6%). Asymptotically R^2(ESD) -> 1, R^2(So) -> 1, and R^2(Bz) -> 1/2, the last reflecting a structural identity between the efficiency defect and the egalitarian-Shapley deviation of the Banzhaf value at every coalition size.

cs.GT↗

arXiv2019

Arrow's Theorem Through a Fixpoint Argument

We present a proof of Arrow's theorem from social choice theory that uses a fixpoint argument. Specifically, we use Banach's result on the existence of a fixpoint of a contractive map defined on a complete metric space. Conceptually, our approach shows that dictatorships can be seen as fixpoints of a certain process.

econ.TH↗