Related papers: Trade-based Asset Model using Dynamic Junction Tre…
We build upon previous work out of UC Berkeley's energy, controls, and applications laboratory (eCal) that developed a model for price prediction of the energy day-ahead market (DAM) and a stochastic load scheduling for distributed energy…
Prediction markets rely on liquidity to convert trades into informative prices, yet existing mechanisms fix liquidity ex ante. This restriction enforces a static trade-off between price responsiveness and worst-case loss despite inherently…
Traditional stock market prediction methods commonly only utilize the historical trading data, ignoring the fact that stock market fluctuations can be impacted by various other information sources such as stock related events. Although some…
We propose a deep amortized clustering (DAC), a neural architecture which learns to cluster datasets efficiently using a few forward passes. DAC implicitly learns what makes a cluster, how to group data points into clusters, and how to…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
Urban transportation networks are vital for the efficient movement of people and goods, necessitating effective traffic management and planning. An integral part of traffic management is understanding the turning movement counts (TMCs) at…
Integrating Distributed Energy Resources (DERs) with peer-to-peer (P2P) energy trading offers promising solutions for grid modernization by incentivizing prosumers to participate in mitigating peak demand. However, this integration also…
In many domains such as transportation and logistics, search and rescue, or cooperative surveillance, tasks are pending to be allocated with the consideration of possible execution uncertainties. Existing task coordination algorithms either…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
The rise of Ethereum and other blockchains that support smart contracts has led to the creation of decentralized exchanges (DEXs), such as Uniswap, Balancer, Curve, mStable, and SushiSwap, which enable agents to trade cryptocurrencies…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
Scheduling the maintenance based on the condition, respectively the degradation level of the system leads to improved system's reliability while minimizing the maintenance cost. Since the degradation level changes dynamically during the…
This paper considers a statistical signal processing problem involving agent based models of financial markets which at a micro-level are driven by socially aware and risk- averse trading agents. These agents trade (buy or sell) stocks by…
Revenue-optimal auction design is a challenging problem with significant theoretical and practical implications. Sequential auction mechanisms, known for their simplicity and strong strategyproofness guarantees, are often limited by…
We propose a profitable trading strategy for the cryptocurrency market based on grid trading. Starting with an analysis of the expected value of the traditional grid strategy, we show that under simple assumptions, its expected return is…
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive signals for trading. However, traditional lead-lag detection…
Predicting the future price trends of stocks is a challenging yet intriguing problem given its critical role to help investors make profitable decisions. In this paper, we present a collaborative temporal-relational modeling framework for…
This paper investigates a consensus-based auction algorithm in the context of decentralized traffic control. In particular, we study the automation of a road intersection, where a set of vehicles is required to cross without collisions. The…
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially coincide. The personal valuations are formed using…
Distributed energy resources (DERs) such as grid-responsive loads and batteries can be harnessed to provide ramping and regulation services across the grid. This paper concerns the problem of optimal allocation of different classes of DERs,…