Related papers: An approximate solution for options market-making …
This paper deals with an optimal position management problem for a market maker who has to face uncertain customer order flows in an illiquid market, where the market maker's continuous trading incurs a stochastic linear price impact.…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal…
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consistency between options…
Order picking is the problem of collecting a set of products in a warehouse in a minimum amount of time. It is currently a major bottleneck in supply-chain because of its cost in time and labor force. This article presents two exact and…
We consider here the MultiBot problem for the scheduling and the resource parametrization of jobs related to the production or the transportation of different products inside a given time horizon. Those jobs must meet known in advance…
In this paper, we study the problem of designing proxies (or portfolios) for various stock market indices based on historical data. We use four different methods for computing market indices, all of which are formulas used in actual stock…
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are…
We outline a new approach for solving optimization problems which enforce triangle inequalities on output variables. We refer to this as metric-constrained optimization, and give several examples where problems of this form arise in machine…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in…
In this paper, we study the assortment optimization problem under the mixed-logit customer choice model. While assortment optimization has been a major topic in revenue management for decades, the mixed-logit model is considered one of the…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
This paper addresses the problem of planning under uncertainty in large Markov Decision Processes (MDPs). Factored MDPs represent a complex state space using state variables and the transition model using a dynamic Bayesian network. This…
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation)…
Fashion discounters face the problem of ordering the right amount of pieces in each size of a product. The product is ordered in pre-packs containing a certain size-mix of a product. For this so-called lot-type design problem, a stochastic…
Real-world experiments involve batched & delayed feedback, non-stationarity, multiple objectives & constraints, and (often some) personalization. Tailoring adaptive methods to address these challenges on a per-problem basis is infeasible,…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
We propose a macroscopic market making model \`a la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. The model intends to bridge the gap between market making and optimal execution problems,…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…