Related papers: Static vs Adaptive Strategies for Optimal Executio…
We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertsimas and Lo in the late 90's. Its main application is slicing large trading orders, in the interest of minimizing trading costs and potential…
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and…
This paper considers sequential adaptive estimation of sparse signals under a constraint on the total sensing effort. The advantage of adaptivity in this context is the ability to focus more resources on regions of space where signal…
We study a wireless jamming problem consisting of the competition between a legitimate receiver and a jammer, as a zero-sum game where the value to maximize/minimize is the channel capacity at the receiver's side. Most of the approaches…
An optimal control problem for longitudinal motions of a thin elastic rod is considered. We suppose that a normal force, which changes piecewise constantly along the rod's length, is applied to the cross-section so that the positions of…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
We analyze the fate of dynamical systems that consist of two kind of processes. The first type is supposed to perform a certain function by processing information at a required high accuracy, which is, however, limited to less than 100…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…
In this study, we analyse the convergence and stability of dynamic system optimal (DSO) traffic assignment with fixed departure times. We first formulate the DSO traffic assignment problem as a strategic game wherein atomic users select…
The state transition algorithm (STA), as an intelligent optimization method grounded in constructivist learning, has been demonstrated to be highly effective in solving complex optimization problems. However, the standard STA suffers from…
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading times or fixed trading prices (i.e., trades only occur if the…
Negotiation is a complex activity involving strategic reasoning, persuasion, and psychology. An average person is often far from an expert in negotiation. Our goal is to assist humans to become better negotiators through a…
I introduce a stability notion, dynamic stability, for two-sided dynamic matching markets where (i) matching opportunities arrive over time, (ii) matching is one-to-one, and (iii) matching is irreversible. The definition addresses two…
We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based…
We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived for the optimal static hedging strategy that minimizes the…