Related papers: Facilitation and Internalization Optimal Strategy …

In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…

In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…

This paper studies some basic problems in a multiple-object auction model using methodologies from theoretical computer science. We are especially concerned with situations where an adversary bidder knows the bidding algorithms of all the…

Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…

Motivated by applications in online marketplaces such as ride-hailing, we study how strategic servers impact the system performance. We consider a discrete-time process in which, heterogeneous types of customers and servers arrive. Each…

We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…

The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…

In this paper, we introduce a novel reinforcement learning framework for optimal trade execution in a limit order book. We formulate the trade execution problem as a dynamic allocation task whose objective is the optimal placement of market…

I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…

We study a bilateral trade problem where a principal has private information that is revealed with delay, such as a seller who does not yet know her production cost. Postponing the contracting process incurs a costly delay, while early…

We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…

Collusion in market pricing is a concept associated with human actions to raise market prices through artificially limited supply. Recently, the idea of algorithmic collusion was put forward, where the human action in the pricing process is…

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…

In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…

Advanced algorithms based on Deep Reinforcement Learning (DRL) have been able to become a reliable tool for the Forex market traders and provide a suitable strategy for maximizing profit and reducing trading risk. These tools try to find…

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 investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure-…

This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

Liquidation is the process of selling a large number of shares of one stock sequentially within a given time frame, taking into consideration the costs arising from market impact and a trader's risk aversion. The main challenge in…