Related papers: An approximate solution for options market-making …
Multiobjective combinatorial optimization deals with problems considering more than one viewpoint or scenario. The problem of aggregating multiple criteria to obtain a globalizing objective function is of special interest when the number of…
Multi-objective optimization (MOO) is a well-studied problem for several important recommendation problems. While multiple approaches have been proposed, in this work, we focus on using constrained optimization formulations (e.g., quadratic…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…
We relook at the classic equity fund selection and portfolio construction problems from a new perspective and propose an easy-to-implement framework to tackle the problem in practical investment. Rather than the conventional way by…
Chance constraints are frequently used to limit the probability of constraint violations in real-world optimization problems where the constraints involve stochastic components. We study chance-constrained submodular optimization problems,…
In this paper, we study a retailer price optimization problem which includes the practical constraints: maximum number of price changes and minimum amount of price change (if a change is recommended). We provide a closed-form formula for…
This paper investigates a multi-product stochastic inventory problem in which a cash-constrained online retailer can adopt order-based loan provided by some Chinese e-commerce platforms to speed up its cash recovery for deferred revenue. We…
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic…
Matching plays a vital role in the rational allocation of resources in many areas, ranging from market operation to people's daily lives. In economics, the term matching theory is coined for pairing two agents in a specific market to reach…
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of…
Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from their electronic platforms. In parallel, building on the foundational work of Ho and Stoll, and later…
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…
This paper develops algorithms to solve strong-substitutes product-mix auctions. That is, it finds competitive equilibrium prices and quantities for agents who use this auction's bidding language to truthfully express their…
We consider a framework for the construction of iterative schemes for operator equations that combine low-rank approximation in tensor formats and adaptive approximation in a basis. Under fairly general assumptions, we obtain a rigorous…
This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by binomial…
Given the promising results on joint modeling of SPX/VIX smiles of the recently introduced quadratic rough Heston model, we consider a multi-asset market making problem on SPX and its derivatives, e.g. VIX futures, SPX and VIX options. The…
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. The numerical approximation of the value function and the optimal quotes in these models remains a challenge when the number of assets is…