Related papers: Constructing the Best Trading Strategy: A New Gene…
This paper acts as a collection of various trading strategies and useful pieces of market information that might help to implement such strategies. This list is meant to be comprehensive (though by no means exhaustive) and hence we only…
Many smart grid frameworks, such as demand response programs, require accurate information about consumers' parameters (e.g., flexibility) at the aggregator side to optimize grid operations. Existing works typically rely on perfect…
This paper introduces a novel methodology for index return forecasting, blending highly correlated stock prices, advanced deep learning techniques, and intricate factor integration. Departing from conventional cap-weighted approaches, our…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex…
In mechanism design, it is challenging to design the optimal auction with correlated values in general settings. Although value distribution can be further exploited to improve revenue, the complex correlation structure makes it hard to…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of…
We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
We propose a profitable trading strategy for the cryptocurrency market based on grid trading. Starting with an analysis of the expected value of the traditional grid strategy, we show that under simple assumptions, its expected return is…
This paper establishes that conditioning the probability of execution of new orders on the self-generated historical trading information (HTI) of a trading strategy is a necessary condition for a statistical trading edge. It is shown, in…
Momentum and mean reversion trading strategies have opposite characteristics. The former is generally better with trending assets, and the latter is generally better with mean reverting assets. Using the Hurst exponent, which classifies…
We study the prediction with expert advice setting, where the aim is to produce a decision by combining the decisions generated by a set of experts, e.g., independently running algorithms. We achieve the min-max optimal dynamic regret under…
Differential privacy is a robust privacy standard that has been successfully applied to a range of data analysis tasks. Despite much recent work, optimal strategies for answering a collection of correlated queries are not known. We study…
The aim of the strategic analysis is to (simply) carry out the game between the implementing body and possible links to the existing market situation. We are therefore playing a strategic game between us and the outside world. This…
Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit…
An agent makes decisions based on multiple sources of information. In isolation, each source is well understood, but their correlation is unknown. We study the agent's robustly optimal strategies -- those that give the best possible…
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…