Related papers: Optimal Order Scheduling for Deterministic Liquidi…
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,…
We present an algorithm for robust model predictive control with consideration of uncertainty and safety constraints. Our framework considers a nonlinear dynamical system subject to disturbances from an unknown but bounded uncertainty set.…
Time-varying optimization is fundamental to decision-making in dynamic environments, where objectives evolve over time due to exogenous signals or data streams. However, algorithms designed for static problems yield suboptimal decisions in…
In this paper, we address the task of setting up an optimal production plan taking into account an uncertain demand. The energy system is represented by a system of hyperbolic partial differential equations (PDEs) and the uncertain demand…
The paper considers the problem of a leader that seeks to optimally influence the opinions of agents in a directed network through connecting with a limited number of the agents ("direct followers"), possibly in the presence of a fixed…
This work introduces a stochastic model predictive control scheme for dynamic chance constraints. We consider linear discrete-time systems affected by unbounded additive stochastic disturbance. To synthesize an optimal controller, we solve…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
Optimal Experiment Design for parameter estimation in water networks has been traditionally formulated to maximize either hydraulic model accuracy or spatial coverage. Because a unique sensor configuration that optimizes both objectives may…
A monopolist wishes to maximize her profits by finding an optimal price policy. After she announces a menu of products and prices, each agent $x$ will choose to buy that product $y(x)$ which maximizes his own utility, if positive. The…
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…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…
In multi-objective optimization, a single decision vector must balance the trade-offs between many objectives. Solutions achieving an optimal trade-off are said to be Pareto optimal: these are decision vectors for which improving any one…
We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for a defined market model. This market structure allows an…
This article aims to introduce the paradigm of distributional robustness from the field of convex optimization to tackle optimal design problems under uncertainty. We consider realistic situations where the physical model, and thereby the…
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this…
This study investigates the development of an optimal execution strategy through reinforcement learning, aiming to determine the most effective approach for traders to buy and sell inventory within a finite time horizon. Our proposed model…
We formalise decompression planning as an optimal control problem with gas feasibility windows (ppO$_2$, END), affine ceilings, and convex penalties in normalised oversaturation. The depth trajectory is constrained to be a monotone ascent,…
In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…