Related papers: Time Consistent Dynamic Limit Order Books Calibrat…
Robotic manipulators are essential for future autonomous systems, yet limited trust in their autonomy has confined them to rigid, task-specific systems. The intricate configuration space of manipulators, coupled with the challenges of…
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an…
We introduce and study constrained Markov Decision Processes (cMDPs) with anytime constraints. An anytime constraint requires the agent to never violate its budget at any point in time, almost surely. Although Markovian policies are no…
In this paper, we consider the problem of controlling a dynamical system such that its trajectories satisfy a temporal logic property in a given amount of time. We focus on multi-affine systems and specifications given as syntactically…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…
Configuration-Constrained Tube Model Predictive Control (CCTMPC) offers flexibility by using a polytopic parameterization of invariant sets and the optimization of an associated vertex control law. This flexibility, however, often demands…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
In the context of dealing with financial risk management problems it is desirable to have accurate bounds for option prices in situations when pricing formulae do not exist in the closed form. A unified approach for obtaining upper and…
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size…
Timed basic parallel processes (TBPP) extend communication-free Petri nets (aka. BPP or commutative context-free grammars) by a global notion of time. TBPP can be seen as an extension of timed automata (TA) with context-free branching…
Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…
We present Contingency Model Predictive Control (CMPC), a motion planning and control framework that optimizes performance objectives while simultaneously maintaining a contingency plan -- an alternate trajectory that avoids a potential…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
Labeled continuous-time Markov chains (CTMCs) describe processes subject to random timing and partial observability. In applications such as runtime monitoring, we must incorporate past observations. The timing of these observations matters…
We study policy optimization problems for deterministic Markov decision processes (MDPs) with metric state and action spaces, which we refer to as Metric Policy Optimization Problems (MPOPs). Our goal is to establish theoretical results on…
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these…