Related papers: On bid and ask side-specific tick sizes
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
We provide a unifying way to analyze how risk aversion changes bidding in auctions by asking which bids become more attractive as bidders become more risk averse. In first-price auctions, under two payoff conditions--winning is never worse…
Consider a cyclically ordered collection of $r$ equinumerous agent sets with strict preferences of every agent over the agents from the next agent set. A weakly stable cyclic matching is a partition of the set of agents into disjoint union…
Bin packing is a classic optimization problem with a wide range of applications, from load balancing to supply chain management. In this work, we study the online variant of the problem, in which a sequence of items of various sizes must be…
In the paper discrete time shadow price is constructed for the market with several assets with given bid and ask prices. Shadow price is the price such that the problem of optimal utility from terminal wealth on the market without…
A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…
One-dimensional topological edge modes are usually studied considering the interface between two different semi infinite periodic crystals (PCs) with inverted band structure around the Dirac point. Here we consider the case where the two…
Peer-to-peer content distribution systems have been enjoying great popularity, and are now gaining momentum as a means of disseminating video streams over the Internet. In many of these protocols, including the popular BitTorrent, content…
The over-the-counter (OTC) market is characterized by a unique feature that allows market makers to adjust bid-ask spreads based on order size. However, this flexibility introduces complexity, transforming the market-making problem into a…
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…
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…
Optimal dissemination schemes have previously been studied for peer-to-peer live streaming applications. Live streaming being a delay-sensitive application, fine tuning of dissemination parameters is crucial. In this report, we investigate…
Ads on the Internet are increasingly sold via ad exchanges such as RightMedia, AdECN and Doubleclick Ad Exchange. These exchanges allow real-time bidding, that is, each time the publisher contacts the exchange, the exchange ``calls out'' to…
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
Patterns of word use both reflect and influence a myriad of human activities and interactions. Like other entities that are reproduced and evolve, words rise or decline depending upon a complex interplay between {their intrinsic properties…
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes and hedge in the interbank market. Hedging offers certainty…
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between…
Given the vast reservoirs of data stored worldwide, efficient mining of data from a large information store has emerged as a great challenge. Many databases like that of intrusion detection systems, web-click records, player statistics,…
An approximation method for construction of optimal strategies in the bid \& ask limit order book in the high-frequency trading (HFT) is studied. The basis is the article by M. Avellaneda \& S. Stoikov 2008, in which certain seemingly…