Related papers: An approximate solution for options market-making …
The economic warehouse lot scheduling problem is a foundational inventory-theory model, capturing computational challenges in dynamically coordinating replenishment decisions for multiple commodities subject to a shared capacity constraint.…
This paper explores the effectiveness of high-frequency options trading strategies enhanced by advanced portfolio optimization techniques, investigating their ability to consistently generate positive returns compared to traditional long or…
We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…
An approximation of strategyproofness in large, two-sided matching markets is highly evident. Through simulations, one can observe that the percentage of agents with useful deviations decreases as the market size grows. Furthermore, there…
A recent line of research has established a novel desideratum for designing approximately-revenue-optimal multi-item mechanisms, namely the buy-many constraint. Under this constraint, prices for different allocations made by the mechanism…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
Stochastic choice-based discrete planning is a broad class of decision-making problems characterized by a sequential decision-making process involving a planner and a group of customers. The firm or planner first decides a subset of options…
Inventory management in warehouses directly affects profits made by manufacturers. Particularly, large manufacturers produce a very large variety of products that are handled by a significantly large number of retailers. In such a case, the…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
Recommendation systems when employed in markets play a dual role: they assist users in selecting their most desired items from a large pool and they help in allocating a limited number of items to the users who desire them the most. Despite…
The article proposes a heuristic approximation approach to the bin packing problem under multiple objectives. In addition to the traditional objective of minimizing the number of bins, the heterogeneousness of the elements in each bin is…
We study an assortment optimization problem under a multi-purchase choice model in which customers choose a bundle of up to one product from each of two product categories. Different bundles have different utilities and the bundle price is…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
We consider the problem of controlling a fully specified Markov decision process (MDP), also known as the planning problem, when the state space is very large and calculating the optimal policy is intractable. Instead, we pursue the more…
We investigate approximation algorithms for several fundamental optimization problems on geometric packing. The geometric objects considered are very generic, namely $d$-dimensional convex fat objects. Our main contribution is a versatile…
Many combinatorial optimization problems can be formulated as the search for a subgraph that satisfies certain properties and minimizes the total weight. We assume here that the vertices correspond to points in a metric space and can take…
Several problems in modeling and control of stochastically-driven dynamical systems can be cast as regularized semi-definite programs. We examine two such representative problems and show that they can be formulated in a similar manner. The…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
A central push in operations models over the last decade has been the incorporation of models of customer choice. Real world implementations of many of these models face the formidable stumbling block of simply identifying the `right' model…