Related papers: An approximate solution for options market-making …
We consider an assortment optimization problem where a customer chooses a single item from a sequence of sets shown to her, while limited inventories constrain the items offered to customers over time. In the special case where all of the…
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…
We study resource allocation in two-sided markets from a fundamental perspective and introduce a general modeling and algorithmic framework to effectively incorporate the complex and multidimensional aspects of fairness. Our main technical…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
We consider assortment and inventory planning problems with dynamic stockout-based substitution effects, and without replenishment, in two different settings: (1) Customers can see all available products when they arrive, a typical scenario…
We give new approximation algorithms for the submodular joint replenishment problem and the inventory routing problem, using an iterative rounding approach. In both problems, we are given a set of $N$ items and a discrete time horizon of…
This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three approaches taken in the artificial intelligence for market…
In this focused technical paper, we present long-awaited algorithmic advances toward the efficient construction of near-optimal replenishment policies for a true inventory management classic, the economic warehouse lot scheduling problem.…
Order picking and order packing entail retrieving items from storage and packaging them according to customer requests. These activities have always been the main concerns of the companies in reducing warehouse management costs. This paper…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
Scalable real-time assortment optimization has become essential in e-commerce operations due to the need for personalization and the availability of a large variety of items. While this can be done when there are simplistic assortment…
Consider the following toy problem. There are $m$ rectangles and $n$ points on the plane. Each rectangle $R$ is a consumer with budget $B_R$, who is interested in purchasing the cheapest item (point) inside R, given that she has enough…
We introduce a new approximate solution technique for first-order Markov decision processes (FOMDPs). Representing the value function linearly w.r.t. a set of first-order basis functions, we compute suitable weights by casting the…
This paper outlines, and through stylized examples evaluates a novel and highly effective computational technique in quantitative finance. Empirical Risk Minimization (ERM) and neural networks are key to this approach. Powerful open source…
Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency at which they…
The food production industry, especially the meat production sector, faces many challenges that have even escalated due to the recent outbreak of the energy crisis in the European Union. Therefore, efficient use of input materials is an…
Designing automated market makers (AMMs) for prediction markets on combinatorial securities over large outcome spaces poses significant computational challenges. Prior research has primarily focused on combinatorial prediction markets…
We revisit the problem of large-scale assortment optimization under the multinomial logit choice model without any assumptions on the structure of the feasible assortments. Scalable real-time assortment optimization has become essential in…
This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…
Optimization problems are ubiquitous in our societies and are present in almost every segment of the economy. Most of these optimization problems are NP-hard and computationally demanding, often requiring approximate solutions for…