Related papers: Determining Optimal Trading Rules without Backtest…

We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a path-dependent manner. For optimal stopping problems with…

In analog and digital simulations of practically relevant quantum systems, the target dynamics can only be implemented approximately. The Trotter product formula is the most common approximation scheme as it is a generic method which allows…

Behavior constrained policy optimization has been demonstrated to be a successful paradigm for tackling Offline Reinforcement Learning. By exploiting historical transitions, a policy is trained to maximize a learned value function while…

Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…

We study the problem when a firm sets prices for products based on the transaction data, i.e., which product past customers chose from an assortment and what were the historical prices that they observed. Our approach does not impose a…

In this article a special class of nonlinear optimal control problems involving a bilinear term in the boundary condition is studied. These kind of problems arise for instance in the identification of an unknown space-dependent Robin…

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…

Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position…

Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading…

In this project, we propose to explore the Kalman filter's performance for estimating asset prices. We begin by introducing a stochastic mean-reverting processes, the Ornstein-Uhlenbeck (OU) model. After this we discuss the Kalman filter in…

We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…

This paper is concerned with the theoretical and computational development of a new class of nonlinear filtering algorithms called the optimal transport particle filters (OTPF). The algorithm is based on a recently introduced variational…

Bilateral trade models the problem of intermediating between two rational agents -- a seller and a buyer -- both characterized by a private valuation for an item they want to trade. We study the online learning version of the problem, in…

Optimising queries in real-world situations under imperfect conditions is still a problem that has not been fully solved. We consider finding the optimal order in which to execute a given set of selection operators under partial ignorance…

In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form…

A scarcity of known chemical kinetic parameters leads to the use of many reaction rate estimates, which are not always sufficiently accurate, in the construction of detailed kinetic models. To reduce the reliance on these estimates and…

Simulating quantum dynamics beyond the reach of classical computers is one of the main envisioned applications of quantum computers. The most promising quantum algorithms to this end in the near-term are the simplest, which use the Trotter…

In this paper, we present first-order accurate numerical methods for solution of the heat equation with uncertain temperature-dependent thermal conductivity. Each algorithm yields a shared coefficient matrix for the ensemble set improving…

We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the temporary and permanent impact parameters vary deterministically…

This paper is concerned with the analysis and numerical analysis for the optimal control of first-order magneto-static equations. Necessary and sufficient optimality conditions are established through a rigorous Hilbert space approach.…