Related papers: Post trade allocation: how much are bunched orders…
Distributed resource allocation is a central task in network systems such as smart grids, water distribution networks, and urban transportation systems. When solving such problems in practice it is often important to have nonasymptotic…
Motivated by distribution problems arising in the supply chain of Haleon, we investigate a discrete optimization problem that we call the "container delivery scheduling problem". The problem models a supplier dispatching ordered products…
Payment channel networks (PCNs) have emerged as a scalability solution for blockchains built on the concept of a payment channel: a setting that allows two nodes to safely transact between themselves in high frequencies based on…
The stable allocation problem is one of the broadest extensions of the well-known stable marriage problem. In an allocation problem, edges of a bipartite graph have capacities and vertices have quotas to fill. Here we investigate the case…
This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a…
Allocation of (redundant) file chunks throughout a distributed storage system affects important performance metrics such as the probability of file recovery, data download time, or the service rate of the system under a given data access…
In this paper, we revisit the portfolio allocation problem with designated risk-budget [Qian, 2005]. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs…
The performance of many large-scale and data-intensive distributed systems critically depends on the capacity of the interconnecting network. This paper is motivated by the vision of self-adjusting infrastructures whose resources can be…
We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our formulation allows effective calculation of the expected…
Recently, coding has been a useful technique to mitigate the effect of stragglers in distributed computing. However, coding in this context has been mainly explored under the assumption of homogeneous workers, although the real-world…
In the problem of online load balancing on uniformly related machines with bounded migration, jobs arrive online one after another and have to be immediately placed on one of a given set of machines without knowledge about jobs that may…
We study the risks of validator reuse across multiple services in a restaking protocol. We characterize the robust security of a restaking network as a function of the buffer between the costs and profits from attacks. For example, our…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
Algorithmic predictions are increasingly used to inform the allocation of scarce resources. The promise of these methods is that, through machine learning, they can better identify the people who would benefit most from interventions.…
The task allocation problem in multi-robot systems (MRTA) is an NP-hard problem whose viable solutions are usually found by heuristic algorithms. Considering the increasing need of improvement on logistics, the use of robots for increasing…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
In this paper, we consider the problem of hosting financial exchanges in the cloud. Financial exchanges require predictable, equal latency to all market participants to ensure fairness for various tasks, such as high speed trading. However,…
In mechanism design it is typical to impose incentive compatibility and then derive an optimal mechanism subject to this constraint. By replacing the incentive compatibility requirement with the goal of minimizing expected ex post regret,…
We consider the problem of balancing load items (tokens) in networks. Starting with an arbitrary load distribution, we allow nodes to exchange tokens with their neighbors in each round. The goal is to achieve a distribution where all nodes…
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…