Related papers: Optimal order placement in limit order markets
We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps…
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch…
This work studies rearrangement problems involving the sorting of robots or objects in stack-like containers, which can be accessed only from one side. Two scenarios are considered: one where every robot or object needs to reach a…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…
This paper studies online optimization under inventory (budget) constraints. While online optimization is a well-studied topic, versions with inventory constraints have proven difficult. We consider a formulation of inventory-constrained…
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…
Mobile edge computing (MEC) emerges as a promising solution for servicing delay-sensitive tasks at the edge network. A body of recent literature started to focus on cost-efficient service placement and request scheduling. This work…
We study the solution of a large-scale transportation problem with an additional constraint on the sparsity of inbound flows. Such problems arise in the management of inventory for online retailers that operate with many order fulfillment…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
This paper addresses the trade-off between internalisation and externalisation in the management of stochastic trade flows. We consider agents who must absorb flows and manage risk by deciding whether to warehouse it or hedge in the market,…
Robotic systems are routinely used in the logistics industry to enhance operational efficiency, but the design of robot workspaces remains a complex and manual task, which limits the system's flexibility to changing demands. This paper aims…
We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure to liquidate by introducing a downward drift in the…
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…
This paper investigates a stochastic inventory management problem in which a cash-constrained small retailer periodically purchases a product from suppliers and sells it to a market while facing non-stationary demands. In each period, the…
The problem of optimal allocation of monitoring resources for tracking transactions progressing through a distributed system, modeled as a queueing network, is considered. Two forms of monitoring information are considered, viz., locally…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…
A retailer is purchasing goods in bundles from suppliers and then selling these goods in bundles to customers; her goal is to maximize profit, which is the revenue obtained from selling goods minus the cost of purchasing those goods. In…
A platform commits to a search algorithm that maps prices to search order. Given this algorithm, sellers set prices, and consumers engage in sequential search. This framework generalizes the ordered search literature. We introduce a special…