Related papers: A Stock Options Metaphor for Content Delivery Netw…
We present a generative framework for pricing European-style basket options by learning the conditional terminal distribution of the log arithmetic-weighted basket return. A Mixture Density Network (MDN) maps time-varying market inputs…
CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of different types of single-name CDS option, including options with…
Stochastic Processing Networks (SPNs) can be used to model communication networks, manufacturing systems, service systems, etc. We consider a real-time SPN where tasks generate jobs with strict deadlines according to their traffic patterns.…
Small-scale clouds (SCs) often suffer from resource under-provisioning during peak demand, leading to inability to satisfy service level agreements (SLAs) and consequent loss of customers. One approach to address this problem is for a set…
From an economic point of view, a common criterion for assessing the merits of a reserve investment is its impacts on social welfare. The underlying assumption in using this criterion is that side payments may be used to distribute the…
Managing stock efficiently remains a core issue in modern logistics, where companies must reconcile cost efficiency with dependable service despite unpredictable market conditions. Conventional models often overlook the direct connection…
Optimizing resource allocation for analytical workloads is vital for reducing costs of cloud-data services. At the same time, it is incredibly hard for users to allocate resources per query in serverless processing systems, and they…
This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…
This paper describes a mechanism for content distribution through opportunistic contacts between subscribers. A subset of subscribers in the network are seeded with the content. The remaining subscribers obtain the information through…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
Ads on the Internet are increasingly sold via ad exchanges such as RightMedia, AdECN and Doubleclick Ad Exchange. These exchanges allow real-time bidding, that is, each time the publisher contacts the exchange, the exchange ``calls out'' to…
Nowadays, machine learning methods have been widely used in stock prediction. Traditional approaches assume an identical data distribution, under which a learned model on the training data is fixed and applied directly in the test data.…
A promising approach to hedge against the inherent uncertainty of renewable generation is to equip the renewable plants with energy storage systems. This paper focuses on designing profit maximization offering strategies, i.e., the…
Assortment optimization is a critical tool for online retailers aiming to maximize revenue. However, optimizing purely for revenue can lead to unbalanced sales across products, potentially causing a long tail of low-selling products and…
Bike-sharing systems are a rapidly developing mode of transportation and provide an efficient alternative to passive, motorized personal mobility. The asymmetric nature of bike demand causes the need for rebalancing bike stations, which is…
Dynamic spectrum access is a new paradigm of secondary spectrum utilization and sharing. It allows unlicensed secondary users (SUs) to exploit opportunistically the under-utilized licensed spectrum. Market mechanism is a widely-used…
One of the main objectives of data mining is to help companies determine to which potential customers to market and how many resources to allocate to these potential customers. Most previous works on competitive influence in social networks…
In this paper we consider how we can include index options in enhanced indexation. We present the concept of an \enquote{option strategy} which enables us to treat options as an artificial asset. An option strategy for a known set of…
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression that imposes a connection on sign predictability across…
Many online companies sell advertisement space in second-price auctions with reserve. In this paper, we develop a probabilistic method to learn a profitable strategy to set the reserve price. We use historical auction data with features to…