Related papers: Large Platonic Markets with Delays
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…
In financial applications, latency advantages -- the ability to make decisions later than others, even without the ability to see what others have done -- can provide individual participants with an edge by allowing them to gather…
Online recommender systems often face long delays in receiving feedback, especially when optimizing for some long-term metrics. While mitigating the effects of delays in learning is well-understood in stationary environments, the problem…
The time needed to exchange information in the physical world induces a delay term when the respective system is modeled by differential equations. Time delays are hence ubiquitous, being furthermore likely to induce instabilities and with…
We investigate the problem of serving deferrable and nondeferrable electric demands with colocated stochastic supply and grid-imported electricity. Deferrable demands arrive randomly and can be delayed within their service deadlines.…
We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short term forecasting and the interaction with time lag among…
Is transparency always beneficial in complex systems such as traffic networks and stock markets? How is transparency defined in multi-agent systems, and what is its optimal degree at which social welfare is highest? We take an agent-based…
The concept of absence of opportunities for free lunches is one of the pillars in the economic theory of financial markets. This natural assumption has proved very fruitful and has lead to great mathematical, as well as economical, insights…
Recommender systems are a ubiquitous feature of online platforms. Increasingly, they are explicitly tasked with increasing users' long-term satisfaction. In this context, we study a content exploration task, which we formalize as a…
Delayed rewards problem in contextual bandits has been of interest in various practical settings. We study randomized allocation strategies and provide an understanding on how the exploration-exploitation tradeoff is affected by delays in…
Financial markets exhibit alternating periods of rising and falling prices. Stock traders seeking to make profitable investment decisions have to account for those trends, where the goal is to accurately predict switches from bullish…
The rise of Large Language Models (LLMs) has driven progress in reasoning tasks -- from program synthesis to scientific hypothesis generation -- yet their ability to handle ranked preferences and structured algorithms in combinatorial…
We study delay-independent stability in nonlinear models with a distributed delay which have a positive equilibrium. Such models frequently occur in population dynamics and other applications. In particular, we construct a relevant…
Stochastic processes with temporal delay play an important role in science and engineering whenever finite speeds of signal transmission and processing occur. However, an exact mathematical analysis of their dynamics and thermodynamics is…
Increasingly, recommender systems are tasked with improving users' long-term satisfaction. In this context, we study a content exploration task, which we formalize as a bandit problem with delayed rewards. There is an apparent trade-off in…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
In the accompanied paper [14], a delayed nonlinear model for pricing corporate liabilities was developed. Using self-financed strategy and duplication we were able to derive two Random Partial Differential Equations (RPDEs) describing the…
We study the impact of competing time delays in coupled stochastic synchronization and coordination problems. We consider two types of delays: transmission delays between interacting elements and processing, cognitive, or execution delays…
In many real-world decision problems there is partially observed, hidden or latent information that remains fixed throughout an interaction. Such decision problems can be modeled as Latent Markov Decision Processes (LMDPs), where a latent…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…