Related papers: Market Microstructure Knowledge Needed for Control…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
Recent developments in the global liberalization of equity and currency markets, coupled to advances in trading technologies, are making markets increasingly interdependent. This increased fluidity raises questions about the stability of…
Today's era is characterized as the "digital transformation era". Digital processes and information systems are used in every aspect of social and business activity. The use of information technology over the internet is so extensive that…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…
We study the problem of asset liquidation in financial systems. During financial crises, asset liquidation is often inevitable but can lead to substantial losses if a significant amount of illiquid assets are sold simultaneously at…
In this paper, a distributed convex optimization framework is developed for energy trading between islanded microgrids. More specifically, the problem consists of several islanded microgrids that exchange energy flows by means of an…
This paper develops a mathematical framework for building a position in a stock over a fixed period of time while in competition with one or more other traders doing the same thing. We develop a game-theoretic framework that takes place in…
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of…
Motivated by the fact that intelligent traffic control systems have become inevitable demand to cope with the risk of traffic congestion in urban areas, this paper develops a distributed control strategy for urban traffic networks. Since…
The debate between the optimal way of allocating societal surplus (i.e. products and services) has been raging, in one form or another, practically forever; following the collapse of the Soviet Union in 1991, the market became the only…
Algorithm designers typically assume that the input data is correct, and then proceed to find "optimal" or "sub-optimal" solutions using this input data. However this assumption of correct data does not always hold in practice, especially…
We formulate an economic optimal control problem for transport of natural gas over a large-scale transmission pipeline network under transient flow conditions. The objective is to maximize economic welfare for users of the pipeline system,…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is…
Advanced integration of logistics systems has been promoted for the sake of competitiveness and sustainability. Such efforts will enable more globally optimal and flexible operations by efficiently utilizing transportation capacity. At the…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…
We consider an e-commerce retailer operating a supply chain that consists of middle- and last-mile transportation, and study its ability to deliver products stored in warehouses within a day from customer's order time. Successful next-day…
The development of the Internet of Things (IoT) generates a significant amount of data that contains valuable knowledge for system operations and business opportunities. Since the data is the property of the IoT data owners, the access to…
Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.