Related papers: Combining Alpha Streams with Costs
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…
Using \textit{multiple streams} can improve the overall system performance by mitigating the data transfer overhead on heterogeneous systems. Prior work focuses a lot on GPUs but little is known about the performance impact on (Intel Xeon)…
The purpose of these notes is to provide a systematic quantitative framework - in what is intended to be a "pedagogical" fashion - for discussing mean-reversion and optimization. We start with pair trading and add complexity by following…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
The recent explosion in the amount and dimensionality of data has exacerbated the need of trading off computational and statistical efficiency carefully, so that inference is both tractable and meaningful. We propose a framework that…
The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…
Payment channel networks like Bitcoin's Lightning network are an auspicious approach for realizing high transaction throughput and almost-instant confirmations in blockchain networks. However, the ability to successfully make payments in…
Sharding is a way to address scalability problem in blockchain technologies. Ethereum, a prominent blockchain technology, has included sharding in its roadmap to increase its throughput. The plan is also to include multiple execution…
Payment channel networks use off-chain transactions to provide virtually arbitrary transaction rates. In this paper, we provide a new perspective on payment channels and consider them as a flow network. We propose an extended push-relabel…
We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the quantities of interest to exit times and probabilities to…
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…
Flows over time have received substantial attention from both an optimization and (more recently) a game-theoretic perspective. In this model, each arc has an associated delay for traversing the arc, and a bound on the rate of flow entering…
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…
The online portfolio selection (OLPS) problem differs from classical portfolio model problems, as it involves making sequential investment decisions. Many OLPS strategies described in the literature capture market movement based on various…
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…
This paper studies the optimal clearing problem for prosumers in peer-to-peer (P2P) energy markets. It is proved that if no trade weights are enforced and the communication structure between successfully traded peers is connected, then the…
We consider the problem of load balancing in parallel queues by transferring customers between them at discrete points in time. Holding costs accrue as customers wait in the queue, while transfer decisions incur both fixed (setup) costs and…
Various modifications of decision trees have been extensively used during the past years due to their high efficiency and interpretability. Tree node splitting based on relevant feature selection is a key step of decision tree learning, at…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading rates of the paired stocks and the…