Related papers: Notes on Alpha Stream Optimization
In this paper we propose a computationally efficient algorithm for on-line variable selection in multivariate regression problems involving high dimensional data streams. The algorithm recursively extracts all the latent factors of a…
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…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
In this paper, we consider distributed optimization design for resource allocation problems over weight-balanced graphs. With the help of singular perturbation analysis, we propose a simple sub-optimal continuous-time optimization…
This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…
Compute-and-forward (CF) is a relaying strategy which allows the relay to decode a linear combination of the transmitted messages. This work studies the optimal power allocation problem for the CF scheme in fast fading channels for…
In this paper we show how to implement in a simple way some complex real-life constraints on the portfolio optimization problem, so that it becomes amenable to quantum optimization algorithms. Specifically, first we explain how to obtain…
We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted $\ell_1$-Norm penalization, henceforth SLOPE. Our approach is able to…
With the tremendous increase of the Internet traffic, achieving the best performance with limited resources is becoming an extremely urgent problem. In order to address this concern, in this paper, we build an optimization problem which…
Blockchain technology, while revolutionary in enabling decentralized transactions, faces scalability challenges as the ledger must be replicated across all nodes of the chain, limiting throughput and efficiency. Sharding, which divides the…
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…
In this work, we propose a hybrid variant of the level-based learning swarm optimizer (LLSO) for solving large-scale portfolio optimization problems. Our goal is to maximize a modified formulation of the Sharpe ratio subject to cardinality,…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
Load balancing, operator instance collocations and horizontal scaling are critical issues in Parallel Stream Processing Engines to achieve low data processing latency, optimized cluster utilization and minimized communication cost…
This paper studies online optimization under inventory (budget) constraints. While online optimization is a well-studied topic, versions with inventory constraints have proven difficult. We consider a formulation of inventory-constrained…
Optimizing portfolio performance is a fundamental challenge in financial modeling, requiring the integration of advanced clustering techniques and data-driven optimization strategies. This paper introduces a comparative backtesting approach…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges.…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…