Related papers: Post trade allocation: how much are bunched orders…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
We study the problem of allocating $T$ sequentially arriving items among $n$ homogeneous agents under the constraint that each agent must receive a pre-specified fraction of all items, with the objective of maximizing the agents' total…
A combinatorial trade is a pair of sets of blocks of elements that can be exchanged while preserving relevant subset intersection constraints. The class of balanced and swap-robust minimal trades was proposed in [1] for exchanging blocks of…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper studies what happens when trades are based on an incorrect…
We tackle in this paper an online network resource allocation problem with job transfers. The network is composed of many servers connected by communication links. The system operates in discrete time; at each time slot, the administrator…
We study the coordination of actions and the allocation of profit in supply chains under decentralized control in which a single supplier supplies several retailers with goods for replenishment of stocks. The goal of the supplier and the…
In traditional on-line problems, such as scheduling, requests arrive over time, demanding available resources. As each request arrives, some resources may have to be irrevocably committed to servicing that request. In many situations,…
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement,…
This study focuses on order dispatch decisions within two-echelon supply chains, where order dispatch creates economic shipments to reduce delivery costs. Dispatching orders is often constrained by delivery windows, leading to penalty costs…
Blockchains, and specifically smart contracts, have promised to create fair and transparent trading ecosystems. Unfortunately, we show that this promise has not been met. We document and quantify the widespread and rising deployment of…
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology…
This article introduces an advanced analytical approach for predicting backorders in inventory management. Backorder refers to an order that cannot be immediately fulfilled due to stock depletion. Multiple classification techniques,…
Recent empirical work demonstrates that online advertisement can exhibit bias in the delivery of ads across users even when all advertisers bid in a non-discriminatory manner. We study the design of ad auctions that, given fair bids, are…
Blockchain networks are facing increasingly heterogeneous computational demands, and in response, protocol designers have started building specialized infrastructure to supply that demand. This paper introduces Resonance: a new kind of…
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…
The coordination of actions and the allocation of profit in supply chains under decentralized control play an important role in improving the profits of retailers and suppliers in the chain. We focus on supply chains under decentralized…
Research in transaction processing has made significant progress in improving the performance of multi-core in-memory transactional systems. However, the focus has mainly been on low-contention workloads. Modern transactional systems…
The successive generations of consensus algorithms have progressively shifted the performance bottleneck of blockchains to the execution layer. While recent works address this by parallelizing transaction execution, they often overlook the…
Blockchains are widely used for secure transaction processing, but their scalability remains limited, and existing multichain designs are typically static even as demand and capacity shift. We cast blockchain configuration as a multiagent…