Related papers: On Market Design and Latency Arbitrage
This paper studies a delegation problem faced by the planner who wants to regulate receivers' reaction choices in markets for matching between receivers and senders with signaling. We provide a noble insight into the planner's willingness…
We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…
Negotiations, introduced by Esparza et al., are a model for concurrent systems where computations involving a set of agents are described in terms of their interactions. In many situations, it is natural to impose timing constraints between…
To the best of our knowledge, this paper proposes for the first time a design of a continuous local flexibility market that explicitly considers network constraints. Continuous markets are expected to be the most appropriate design option…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
This paper introduces a discrete limit order book model where new orders are placed with a fixed displacement from the mid-price. Further, the trade event occurs whenever the mid-price hits the price level on which there is some volume.…
This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines…
An empirical stochastic analysis of high-frequency, tick-by-tick order data of NASDAQ100 listed stocks is conducted using a first-order discrete-time Markov chain model to explore intraday order transition dynamics. This analysis focuses on…
When perturbation or unexpected events do occur, agents need protocols for repairing or reforming the supply chain. Unfortunate contingency could increase too much the cost of performance, while breaching the current contract may be more…
Cellular networks provide communication for different applications. Some applications have strict and very short latency requirements, while others require high bandwidth with varying priorities. The challenge of satisfying the requirements…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
We study a multi-agent setting in which brokers transact with an informed trader. Through a sequential Stackelberg-type game, brokers manage trading costs and adverse selection with an informed trader. In particular, supplying liquidity to…
Motivated by recent applications of sequential decision making in matching markets, in this paper we attempt at formulating and abstracting market designs for P2P lending. We describe a paradigm to set the stage for how peer to peer…
In this paper we investigate the possibility of spontaneous segregation into groups of traders that have to choose among several markets. Even in the simplest case of two markets and Zero Intelligence traders, we are able to observe…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
The existing literature provides evidence that limit order book data can be used to predict short-term price movements in stock markets. This paper proposes a new neural network architecture for predicting return jump arrivals in equity…
High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and…
In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…