Related papers: Latency and Liquidity Risk
We consider a stochastic lost-sales inventory control system with a lead time $L$ over a planning horizon $T$. Supply is uncertain, and is a function of the order quantity (due to random yield/capacity, etc). We aim to minimize the…
Low-latency communication plays an increasingly important role in delay-sensitive applications by ensuring the real-time information exchange. However, due to the constraint on the maximum instantaneous power, guaranteeing bounded latency…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the…
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and Wang,…
This study investigates the development of an optimal execution strategy through reinforcement learning, aiming to determine the most effective approach for traders to buy and sell inventory within a finite time horizon. Our proposed model…
In order to reduce signalling, traders may resort to limiting access to dark venues and imposing limits on minimum fill sizes they are willing to trade. However, doing this also restricts the liquidity available to the trader since an ever…
Location-Based Services (LBSs) provide invaluable aid in the everyday activities of many individuals, however they also pose serious threats to the user' privacy. There is, therefore, a growing interest in the development of mechanisms to…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book depth and resilience are allowed to evolve randomly in time.…
We study an online learning problem on dynamic pricing and resource allocation, where we make joint pricing and inventory decisions to maximize the overall net profit. We consider the stochastic dependence of demands on the price, which…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are exposed to impermanent loss (IL) due to price fluctuations.…
We study the trade-off between delivery delay and energy consumption in a delay tolerant network in which a message (or a file) has to be delivered to each of several destinations by epidemic relaying. In addition to the destinations, there…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…