Related papers: Large Platonic Markets with Delays
The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…
A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is…
We analyze the macroscopic behavior of multi-populations randomly connected neural networks with interaction delays. Similar to cases occurring in spin glasses, we show that the sequences of empirical measures satisfy a large deviation…
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct…
A common issue for companies is that the volume of product orders may at times exceed the production capacity. We formally introduce two novel problems dealing with the question which orders to discard or postpone in order to meet certain…
In this work, we investigate the market-making problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market-making models typically rely on terminal…
Preferences play a key role in determining what goals/constraints to satisfy when not all constraints can be satisfied simultaneously. In this work, we study preference-based planning in a stochastic system modeled as a Markov decision…
The standard formulation of Markov decision processes (MDPs) assumes that the agent's decisions are executed immediately. However, in numerous realistic applications such as robotics or healthcare, actions are performed with a delay whose…
We study the problem of online learning in competitive settings in the context of two-sided matching markets. In particular, one side of the market, the agents, must learn about their preferences over the other side, the firms, through…
Non-ideal deterministic system "tank with liquid-electric motor" is studied. Two delay-approximation models are considered. Impact of the delay on the emergence, evolution and disappearance of regular and chaotic limit sets (attractors) of…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
This article analyzes the high-gain prediction approach for nonlinear input-delay systems. The problem is discussed in the light of weighted homogeneity and input-to-state stability. The canonical form for uniformly observable nonlinear…
Two-sided matching platforms rely on preferences from both sides, yet participants can evaluate only a small fraction of potential partners. In practice, they use low-cost pre-match screening, e.g., interviews, profile views, or trial…
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We study the impacts of incomplete information on centralized one-to-one matching markets. We focus on the commonly used Deferred Acceptance mechanism (Gale and Shapley, 1962). We show that many complete-information results are fragile to a…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
The progressive second-price auction of Lazar and Semret is a decentralized mechanism for the allocation and real-time pricing of a divisible resource. Our focus is on how delays in the receipt of bid messages, asynchronous analysis by…
We study a \emph{financial} version of the classic online problem of scheduling weighted packets with deadlines. The main novelty is that, while previous works assume packets have \emph{fixed} weights throughout their lifetime, this work…
We study the problem of scheduling delay-sensitive jobs over spot and on-demand cloud instances to minimize average cost while meeting an average delay constraint. Jobs arrive as a general stochastic process, and incur different costs based…