Related papers: Optimal order placement in limit order markets
In light of the growing market of Ad Exchanges for the real-time sale of advertising slots, publishers face new challenges in choosing between the allocation of contract-based reservation ads and spot market ads. In this setting, the…
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
In this work we investigate the problem of order batching and picker routing in storage areas. These are labour and capital intensive problems, often responsible for a substantial share of warehouse operating costs. In particular, we…
In this paper, we investigate the online allocation problem of maximizing the overall revenue subject to both lower and upper bound constraints. Compared to the extensively studied online problems with only resource upper bounds, the…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
The maximum-entropy sampling problem is a fundamental and challenging combinatorial-optimization problem, with application in spatial statistics. It asks to find a maximum-determinant order-$s$ principal submatrix of an order-$n$ covariance…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
This paper deals with an optimal position management problem for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading incurs a stochastic linear price impact.…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote…
Optimal shelflisting invites profit maximization to become sensitive to the ways in which purchasing decisions are order-dependent. We study the computational complexity of the corresponding product arrangement problem when consumers are…
The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested by the online estimation of the market impacts generated by robots or single…
We introduce the problem of optimal congestion control in cache networks, whereby \emph{both} rate allocations and content placements are optimized \emph{jointly}. We formulate this as a maximization problem with non-convex constraints, and…
We study how an e-commerce firm should make real-time fulfillment decisions in a two-layer distribution network when multi-item customer orders arrive sequentially and future demand is unknown. The central managerial tension is whether to…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…