Related papers: Optimizing Execution Cost Using Stochastic Control
In this paper we derive the optimal execution trajectory for a trader who wishes to buy or sell a large position of shares which evolve as a geometric Brownian process in contrast to the arithmetic model which prevails in the existing…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
Bertsimas and Lo's seminal work laid the groundwork for addressing the implementation shortfall dilemma in institutional investing, emphasizing the significance of market microstructure and price dynamics in minimizing execution costs.…
This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
In this paper, we consider a state constrained optimal control problem governed by the transient Stokes equations. The state constraint is given by an L2 functional in space, which is required to fulfill a pointwise bound in time. The…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…
We propose a formulation of the stochastic cutting stock problem as a discounted infinite-horizon Markov decision process. At each decision epoch, given current inventory of items, an agent chooses in which patterns to cut objects in stock…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…
Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
Optimal trade execution is an important problem faced by essentially all traders. Much research into optimal execution uses stringent model assumptions and applies continuous time stochastic control to solve them. Here, we instead take a…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
Dual control explicitly addresses the problem of trading off active exploration and exploitation in the optimal control of partially unknown systems. While the problem can be cast in the framework of stochastic dynamic programming, exact…
In this paper, co-states are used to develop a framework that desensitizes the optimal cost. A general formulation for an optimal control problem with fixed final time is considered. The proposed scheme involves elevating the parameters of…
In high performance computing, scheduling of tasks and allocation to machines is very critical especially when we are dealing with heterogeneous execution costs. Simulations can be performed with a large variety of environments and…
Prior work on automatic control synthesis for cyber-physical systems under logical constraints has primarily focused on environmental disturbances or modeling uncertainties, however, the impact of deliberate and malicious attacks has been…