Related papers: A Pre-Trade Algorithmic Trading Model under Given …
In this paper we introduce and exploit the real replica approach for a minimal generalization of the Hopfield model, by assuming the learned patterns to be distributed accordingly to a standard unit Gaussian. We consider the high storage…
We study the question of volume optimality in split conformal regression, a topic still poorly understood in comparison to coverage control. Using the fact that the calibration step can be seen as an empirical volume minimization problem,…
Optimizing multiple competing objectives is a common problem across science and industry. The inherent inextricable trade-off between those objectives leads one to the task of exploring their Pareto front. A meaningful quantity for the…
In this paper we consider a class of generalized Kyle-Back strategic insider trading models in which the insider is able to use the dynamic information obtained by observing the instantaneous movement of an underlying asset that is allowed…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
We construct, for any finite dimension $n$, a new hidden measurement model for quantum mechanics based on representing quantum transition probabilities by the volume of regions in projective Hilbert space. For $n=2$ our model is equivalent…
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…
We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of…
Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…
We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…
In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with…
An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows…
This work presents an efficient framework to generate a motion plan of a robot with high degrees of freedom (e.g., a humanoid robot). High-dimensionality of the robot configuration space often leads to difficulties in utilizing the…
Modeling the trading volume curves of financial instruments throughout the day is of key interest in financial trading applications. Predictions of these so-called volume profiles guide trade execution strategies, for example, a common…
This paper addresses a novel data science problem, prescriptive price optimization, which derives the optimal price strategy to maximize future profit/revenue on the basis of massive predictive formulas produced by machine learning. The…
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures…
This paper presents an overview of close parallels that exist between the theory of positive operator-valued measures (POVMs) associated with a separable Hilbert space and the theory of frames on that space, including its most important…
We discuss the two-dimensional motion of a Brownian particle that is confined to a harmonic trap and driven by a shear flow. The surrounding medium induces memory effects modelled by a linear, typically nonreciprocal coupling of the…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
A coarse-grained variational model is used to investigate the polymer dynamics of barrier crossing for a diverse set of two-state folding proteins. The model gives reliable folding rate predictions provided excluded volume terms that induce…