Related papers: Post trade allocation: how much are bunched orders…
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather…
Trades, introduced by Hedayat, are two sets of blocks of elements which may be exchanged (traded) without altering the counts of certain subcollections of elements within their constituent blocks. They are of importance in applications…
We examine the problem of allocating a given total storage budget in a distributed storage system for maximum reliability. A source has a single data object that is to be coded and stored over a set of storage nodes; it is allowed to store…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
Order picking is the single most cost-intensive activity in picker-to-parts warehouses, and as such has garnered large interest from the scientific community which led to multiple problem formulations and a plethora of algorithms published.…
We consider the problem of online allocation subject to a long-term fairness penalty. Contrary to existing works, however, we do not assume that the decision-maker observes the protected attributes -- which is often unrealistic in practice.…
In this work, we revisit the problem of fairly allocating a number of indivisible items that are located on a line to multiple agents. A feasible allocation requires that the allocated items to each agent are connected on the line. The…
Task allocation problems have traditionally focused on cost optimization. However, more and more attention is being given to cases in which cost should not always be the sole or major consideration. In this paper we study a fair task…
The development of cluster computing frameworks has allowed practitioners to scale out various statistical estimation and machine learning algorithms with minimal programming effort. This is especially true for machine learning problems…
One of the most important topics in discrete fair division is whether an EFX allocation exists for any instance. Although the existence of EFX allocations is a standing open problem for both goods and chores, the understanding of the…
In high performance computing, scheduling of tasks and allocation to machines is very critical especially when we are dealing with heterogeneous execution costs. Simulations can be performed with a large variety of environments and…
All public blockchains are secured by a proof of opportunity cost among block producers. For example, the security offered by proof-of-work (PoW) systems, like Bitcoin, is due to spent computation; it is work precisely because it cannot be…
The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By…
Storage allocation affects important performance measures of distributed storage systems. Most previous studies on the storage allocation consider its effect separately either on the success of the data recovery or on the service rate…
Several recent proposals implicitly or explicitly suggest making use of randomized transaction ordering within a block to mitigate centralization effects and to improve fairness in the Ethereum ecosystem. However, transactions and blocks…
We study the economics of the Ethereum improvement proposal 4844 and its effect on rollups' data posting strategies. Rollups' cost consists of two parts: data posting and delay. In the new proposal, the data posting cost corresponds to a…
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk…
Blockchain systems often employ proof-of-work consensus protocols to validate and add transactions into hashchains. These protocols stimulate competition among miners in solving cryptopuzzles (e.g. SHA-256 hash computation in Bitcoin) in…
In multi-agent reinforcement learning systems, the actions of one agent can have a negative impact on the rewards of other agents. One way to combat this problem is to let agents trade their rewards amongst each other. Motivated by this,…
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading…