Related papers: Optimal market making with persistent order flow
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
We consider the problem of optimally executing an order involving multiple crypto-assets, sometimes called tokens, on a network of multiple constant function market makers (CFMMs). When we ignore the fixed cost associated with executing an…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competing market makers. We assume that the competing market makers…
The global markets provide enterprises with selling opportunities and challenges in stabilizing operational strategies. From the perspective of production management, it is important to improve the profitability of an enterprise by…
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model…
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware,…
Many processes, such as discrete event systems in engineering or population dynamics in biology, evolve in discrete space and continuous time. We consider the problem of optimal decision making in such discrete state and action space…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
We consider the optimal control of solutions of first order Hamilton-Jacobi equations, where the Hamiltonian is convex with linear growth. This models the problem of steering the propagation of a front by constructing an obstacle. We prove…
We present a continuous-time portfolio selection framework that reflects goal-based investment principles and mental accounting behavior. In this framework, an investor with multiple investment goals constructs separate portfolios, each…
In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB…
Reinforcement Learning has emerged as a promising framework for developing adaptive and data-driven strategies, enabling market makers to optimize decision-making policies based on interactions with the limit order book environment. This…
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…
In this paper, we aim to develop the theory of optimal stochastic control for branching diffusion processes where both the movement and the reproduction of the particles depend on the control. More precisely, we study the problem of…
In this work, we investigate the market-making problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market-making models typically rely on terminal…