Related papers: Optimal order placement in limit order markets
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Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…
The emerging edge computing paradigm promises to deliver superior user experience and enable a wide range of Internet of Things (IoT) applications. In this work, we propose a new market-based framework for efficiently allocating resources…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
Economic dispatch problem for a networked power system has been considered. The objective is to minimize the total generation cost while meeting the overall supply-demand balance and generation capacity. In particular, a more practical…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
Algorithmic decision-making in societal contexts, such as retail pricing, loan administration, recommendations on online platforms, etc., can be framed as stochastic optimization under bandit feedback, which typically requires…
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band…
We consider the following two deterministic inventory optimization problems over a finite planning horizon $T$ with non-stationary demands. (a) Submodular Joint Replenishment Problem: This involves multiple item types and a single retailer…
Decision-makers often have access to machine-learned predictions about future demand that can help guide online resource allocation decisions. However, such predictions may be inaccurate. We develop a framework for online resource…
We consider the problem of optimal exchange which can be formulated as a kind of optimal transportation problem. The existence of an optimal solution and a duality theorem for the optimal exchange problem are proved in case of completely…