Related papers: Estimating the efficient price from the order flow…
We investigate the efficiency of fair allocations of indivisible goods using the well-studied price of fairness concept. Previous work has focused on classical fairness notions such as envy-freeness, proportionality, and equitability.…
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based…
Consider a network design application where we wish to lay down a minimum-cost spanning tree in a given graph; however, we only have stochastic information about the edge costs. To learn the precise cost of any edge, we have to conduct a…
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…
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…
Predictive models are often used for real-time decision making. However, typical machine learning techniques ignore feature evaluation cost, and focus solely on the accuracy of the machine learning models obtained utilizing all the features…
We show that under mild assumptions, the total value of information to informed traders in the market can be measured by the covariance between price changes and order flow. This covariance captures noise trader losses, which equal informed…
We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…
We introduce a dynamic model in which a developer incrementally improves a product of uncertain quality over time, with the quality evolving as a controlled Brownian motion. At each moment in time, the developer can continue exploring by…
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
Currently, the increase in financial returns from economic operations is constrained in view of the lack of a single efficiency criterion, which allows uniquely identify the business operation by their main feature - the possibility of…
Analyzing big data in a highly dynamic environment becomes more and more critical because of the increasingly need for end-to-end processing of this data. Modern data flows are quite complex and there are not efficient, cost-based,…
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these…
Optimizing the total cost of power systems is a common tool for network operation and planning. Besides valuable information about how to run and possibly expand a power system, the optimization provides an optimal Locational Marginal Price…
Price perception by consumers represents a challenge to the ability of a business to correctly and profitably price and sell their products or services in a given market and any new target market. Complicating the perception of prices is…
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…
Bayesian Optimization (BO) is used to find the global optima of black box functions. In this work, we propose a practical BO method of function compositions where the form of the composition is known but the constituent functions are…