Author

P. Cotton

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Preprint Sep 2026

Scalable Inversion of Contests with Correlated Performances, Including Softmax and Multinomial Probit

Multinomial probit choice probabilities over n alternatives are Gaussian orthant integrals, computed by simulation for thirty years, one expensive integral per alternative. Inversion, which is to say determining item attractiveness consistent with a prescribed choice probability vector, is even more difficult and has b...

P. Cotton · 0 citations

Preprint Aug 2026

On a Simple Relationship Between Order Imbalance, Skew and Width in Over-The-Counter Trading

We consider a market maker who can only obtain and dispose of inventory by responding to a sequence of sealed-bid enquiries, and whose customers arrive with imbalanced intent: sellers more often than buyers, or the reverse. Under the assumption that the best competing response is exponentially distributed around a comm...

P. Cotton · 0 citations