Related papers: Time Consistent Dynamic Limit Order Books Calibrat…
Constant Function Market Makers (CFMMs) are a tool for creating exchange markets, have been deployed effectively in prediction markets, and are now especially prominent in the Decentralized Finance ecosystem. We show that for any set of…
Optimization problems involving complex variables, when solved, are typically transformed into real variables, often at the expense of convergence rate and interpretability. This paper introduces a novel formalism for a prominent problem in…
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their main result hinges on the stopping time property of the time changes, but…
Patient trajectories from electronic health records are widely used to estimate conditional average potential outcomes (CAPOs) of treatments over time, which then allows to personalize care. Yet, existing neural methods for this purpose…
This paper develops general approaches for pricing various types of American-style Parisian options (down-in/-out, perpetual/finite-maturity) with general payoff functions based on continuous-time Markov chain (CTMC) approximation under…
This paper studies motion planning of a mobile robot under uncertainty. The control objective is to synthesize a {finite-memory} control policy, such that a high-level task specified as a Linear Temporal Logic (LTL) formula is satisfied…
Robust reinforcement learning is essential for deploying reinforcement learning algorithms in real-world scenarios where environmental uncertainty predominates. Traditional robust reinforcement learning often depends on rectangularity…
We study the optimal execution of market and limit orders with permanent and temporary price impacts as well as uncertainty in the filling of limit orders. Our continuous-time model incorporates a trade speed limiter and a trader director…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
This paper develops a robust mathematical framework for Constant Function Market Makers (CFMMs) by transitioning from traditional token reserve analyses to a coordinate system defined by price and intrinsic liquidity. We establish a…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
In this paper we present a framework for risk-averse model predictive control (MPC) of linear systems affected by multiplicative uncertainty. Our key innovation is to consider time-consistent, dynamic risk metrics as objective functions to…
We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for a defined market model. This market structure allows an…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options:…
A temporal logic is presented for reasoning about the correctness of timed concurrent constraint programs. The logic is based on modalities which allow one to specify what a process produces as a reaction to what its environment inputs.…
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
Time-distributed Optimization (TDO) is an approach for reducing the computational burden of Model Predictive Control (MPC). When using TDO, optimization iterations are distributed over time by maintaining a running solution estimate and…
This paper studies multi-object reallocation without monetary transfers, where agents initially own multiple indivisible objects and have strict preferences over bundles (e.g., shift exchange among workers at a firm). Focusing on marginal…