Related papers: Market Making with Scaled Beta Policies
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional…
This paper introduces a new algorithmic execution model that integrates interbank limit and market orders with internal liquidity generated through market making. Based on the Cartea et al.\cite{cartea2015algorithmic} framework, we…
In the preceding paper we presented empirical results describing the growth of publicly-traded United States manufacturing firms within the years 1974--1993. Our results suggest that the data can be described by a scaling approach. Here, we…
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subject of various investigations in the…
The development of embodied agents for complex commercial environments is hindered by a critical gap in existing robotics datasets and benchmarks, which primarily focus on household or tabletop settings with short-horizon tasks. To address…
In electronic trading markets, limit order books (LOBs) provide information about pending buy/sell orders at various price levels for a given security. Recently, there has been a growing interest in using LOB data for resolving downstream…
We introduce a multi-armed bandit model where the reward is a sum of multiple random variables, and each action only alters the distributions of some of them. After each action, the agent observes the realizations of all the variables. This…
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset…
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…
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we…
We consider dynamic pricing schemes in online settings where selfish agents generate online events. Previous work on online mechanisms has dealt almost entirely with the goal of maximizing social welfare or revenue in an auction settings.…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
Message brokers often mediate communication between data producers and consumers by adding variable-sized messages to ordered distributed queues. Our goal is to determine the number of consumers and consumer-partition assignments needed to…
Evaluating AI agents on comprehensive benchmarks is expensive because each evaluation requires interactive rollouts with tool use and multi-step reasoning. We study whether small task subsets can preserve agent rankings at substantially…
Algorithmic collusion has emerged as a central question in AI: Will the interaction between different AI agents deployed in markets lead to collusion? More generally, understanding how emergent behavior, be it a cartel or market dominance…
This paper explores the utility of agent-based simulations in realistically modelling market structures and sheds light on the nuances of optimal dealer strategies. It underscores the contrast between conclusions drawn from probabilistic…
We consider a sequential blocked matching (SBM) model where strategic agents repeatedly report ordinal preferences over a set of services to a central planner. The planner's goal is to elicit agents' true preferences and design a policy…
Bundling, the practice of jointly selling two or more products at a discount, is a widely used strategy in industry and a well examined concept in academia. Historically, the focus has been on theoretical studies in the context of…
In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position as a result of a margin call to meet financial obligations.…
We consider the problem of dynamic pricing with limited supply. A seller has $k$ identical items for sale and is facing $n$ potential buyers ("agents") that are arriving sequentially. Each agent is interested in buying one item. Each…