Related papers: Combining Alpha Streams with Costs
Sharding has shown great potential to scale out blockchains. It divides nodes into smaller groups which allow for partial transaction processing, relaying and storage. Hence, instead of running one blockchain, we will run multiple…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
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…
Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies for specific…
Analysis of asset liability management (ALM) strategies especially for long term horizon is a crucial issue for banks, funds and insurance companies. Modern economic models, investment strategies and optimization criteria make ALM studies…
This work discusses the benefits of constrained portfolio turnover strategies for small to medium-sized portfolios. We propose a dynamic multi-period model that aims to minimize transaction costs and maximize terminal wealth levels whilst…
Directed graphs are widely used to model data flow and execution dependencies in streaming applications. This enables the utilization of graph partitioning algorithms for the problem of parallelizing computation for multiprocessor…
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…
We tackle in this paper an online network resource allocation problem with job transfers. The network is composed of many servers connected by communication links. The system operates in discrete time; at each time slot, the administrator…
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected logarithmic growth rate of an investor's wealth. We prove that…
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate cross-impact effects. In addition, we allow for stochastic…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
We document the first systematic evidence of negative spillover effects in crypto asset returns across blockchains. Using on-chain data from Ethereum, Solana, Binance Smart Chain, Arbitrum, and Avalanche (2022-2025), we show that surges on…
In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical progress towards a solution in such problems, but we…
This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs, in which the commonly used concavification principle for terminal value is no longer applicable. We…
Given the low throughput of blockchains like Bitcoin and Ethereum, scalability - the ability to process an increasing number of transactions - has become a central focus of blockchain research. One promising approach is the parallelization…
There is a growing demand for live, on-the-fly processing of increasingly large amounts of data. In order to ensure the timely and reliable processing of streaming data, a variety of distributed stream processing architectures and platforms…
We introduce Onflow, a reinforcement learning method for optimizing portfolio allocation via gradient flows. Our approach dynamically adjusts portfolio allocations to maximize expected log returns while accounting for transaction costs.…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…