Related papers: Optimal incentives in a limit order book: a SPDE c…
This paper analyzes the use of variable speed limits to optimize travel time reliability for commuters. The investigation focuses on a traffic corridor with a bottleneck subject to the capacity drop phenomenon. The optimization criterion is…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…
The design of the performance index, also referred to as cost or reward shaping, is central to both optimal control and reinforcement learning, as it directly determines the behaviors, trade-offs, and objectives that the resulting control…
Computational approaches to PDE-constrained optimization under uncertainty may involve finite-dimensional approximations of control and state spaces, sample average approximations of measures of risk and reliability, smooth approximations…
We consider partial differential equations (PDEs) characterized by an upper barrier that depends on the solution itself and a fixed lower barrier, while accommodating a non-local driver. First, we show a Feynman-Kac representation for the…
This paper proposes a novel method to generate bid bounds that can serve as offer caps for energy storage in electricity markets to help reduce system costs and regulate potential market power exercises. We derive the bid bounds based on a…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
Statistical and dynamical characters of stock markets have been extensively studied, which now is providing the firm basis for econophysics and its application as ``stylized facts''. However, most of those studies are for markets under the…
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…
We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a…
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This…
This paper addresses the problem of computing optimal impedance schedules for legged locomotion tasks involving complex contact interactions. We formulate the problem of impedance regulation as a trade-off between disturbance rejection and…
We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to maximize his income. We model the…
The growing penetration of renewable energy requires upgrades to the transmission network to ensure the deliverability of renewable generation. As an efficient alternative to transmission expansion, flexible transmission technologies, whose…
This paper investigates the feasibility of using a discriminate pricing scheme to offset the inconvenience that is experienced by an energy user (EU) in trading its energy with an energy controller in smart grid. The main objective is to…
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…
The intermittent nature of renewable energy resources creates extra challenges in the operation and control of the electricity grid. Demand flexibility markets can help in dealing with these challenges by introducing incentives for…