Related papers: An approximate solution for options market-making …
We consider large-scale Markov decision processes (MDPs) with a risk measure of variability in cost, under the risk-aware MDPs paradigm. Previous studies showed that risk-aware MDPs, based on a minimax approach to handling risk, can be…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the…
Real-world multi-agent planning problems cannot be solved using decision-theoretic planning methods due to the exponential complexity. We approximate firefighting in rescue simulation as a spatially distributed task and model with…
We study a type of reverse (procurement) auction problems in the presence of budget constraints. The general algorithmic problem is to purchase a set of resources, which come at a cost, so as not to exceed a given budget and at the same…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
Complex queries for massive data analysis jobs have become increasingly commonplace. Many such queries contain com- mon subexpressions, either within a single query or among multiple queries submitted as a batch. Conventional query…
We consider a variant of the classical Bin Packing Problem, called Fully Dynamic Bin Packing. In this variant, items of a size in $(0,1]$ must be packed in bins of unit size. In each time step, an item either arrives or departs from the…
This paper studies the ubiquitous problem of liquidating large quantities of highly correlated stocks, a task frequently encountered by institutional investors and proprietary trading firms. Traditional methods in this setting suffer from…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
Individual investors are now massively using online brokers to trade stocks with convenient interfaces and low fees, albeit losing the advice and personalization traditionally provided by full-service brokers. We frame the problem faced by…
Today's global supply chains face growing challenges due to rapidly changing market conditions, increased network complexity and inter-dependency, and dynamic uncertainties in supply, demand, and other factors. To combat these challenges,…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
In many modern applications, difficulty in evaluating the posterior density makes performing even a single MCMC step slow. This difficulty can be caused by intractable likelihood functions, but also appears for routine problems with large…
In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only the absence of arbitrage opportunities. We formulate this as…
Dynamic graph algorithms have seen significant theoretical advancements, but practical evaluations often lag behind. This work bridges the gap between theory and practice by engineering and empirically evaluating recently developed…
We present a framework for computing with input data specified by intervals, representing uncertainty in the values of the input parameters. To compute a solution, the algorithm can query the input parameters that yield more refined…
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller…
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…