Related papers: Can Turnover Go to Zero?
We introduce and study a model of percolation with constant freezing (PCF) where edges open at constant rate 1, and clusters freeze at rate \alpha independently of their size. Our main result is that the infinite volume process can be…
Portfolio optimization methods suffer from a catalogue of known problems, mainly due to the facts that pair correlations of asset returns are unstable, and that extremal risk measures such as maximum drawdown are difficult to predict due to…
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical…
A turn in a computation of a pushdown automaton is a switch from a phase in which the height of the pushdown store increases to a phase in which it decreases. Given a pushdown or one-counter automaton, we consider, for each string in its…
We derive a specific functional form for factor alpha decay -- hyperbolic decay alpha(t) = K/(1+lambda*t) -- from a game-theoretic equilibrium model, and test it against linear and exponential alternatives. Using eight Fama-French factors…
We prove the existence of a limit of the finite volume probability measures generated by tree growth rules in Ford's alpha model of phylogenetic trees. The limiting measure is shown to be concentrated on the set of trees consisting of…
We introduce and study a class of optimization problems we coin replenishment problems with fixed turnover times: a very natural model that has received little attention in the literature. Nodes with capacity for storing a certain commodity…
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical…
Given a geometric Levy alpha-stable wealth process, a log-Levy alpha-stable lower bound is constructed for the terminal wealth of a regular investing schedule. Using a transformation, the lower bound is applied to a schedule of withdrawals…
Stochastic network calculus requires special care in the search of proper stochastic traffic arrival models and stochastic service models. Tradeoff must be considered between the feasibility for the analysis of performance bounds, the…
We present a simple model that uses time series momentum in order to construct strategies that systematically outperform their benchmark. The simplicity of our model is elegant: We only require a benchmark time series and several related…
Transmission-constrained problems in power systems can be cast as polynomial optimization problems whose coefficients vary over time. We consider the complications therein and suggest several approaches. On the example of the…
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
We present a general framework for determining the power-efficiency trade-off relations across arbitrary thermal machines, addressing the lack of unified optimization results stemming from their diverse functionalities (e.g., heat engines,…
In system operations it is commonly assumed that arbitrary changes to a system can be reversed or `rolled back', when errors of judgement and procedure occur. We point out that this view is flawed and provide an alternative approach to…
The question of finding a lower bound on the number of Toffoli gates in a classical reversible circuit is addressed. A method based on quantum information concepts is proposed. The method involves solely concepts from quantum information -…
In this paper we study the maximum number of limit cycles that can bifurcate from a focus singular point $p_0$ of an analytic, autonomous differential system in the real plane under an analytic perturbation. We consider $p_0$ being a focus…
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 hypothetical risk-neutral agent who trades to maximize the expected profit of the next trade will approximately exhibit long-term optimal behavior as long as this agent uses the vector $p = \nabla V (t, x)$ as effective microstructure…
We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional exchange (the "primary venue") and in a dark pool. At the…