Related papers: Post trade allocation: how much are bunched orders…
A basic combinatorial online resource allocation problem is considered, where multiple servers have individual capacity constraints, and at each time slot, a set of jobs arrives, that have potentially different weights to different servers.…
Resource allocation in distributed and networked systems such as the Cloud is becoming increasingly flexible, allowing these systems to dynamically adjust toward the workloads they serve, in a demand-aware manner. Online balanced…
We consider the age-old problem of allocating items among different agents in a way that is efficient and fair. Two papers, by Dolev et al. and Ghodsi et al., have recently studied this problem in the context of computer systems. Both…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
State-of-the-art blockchain sharding solutions such as Monoxide, can cause severely imbalanced distribution of transaction (TX) workloads across all blockchain shards due to the deployment policy of their accounts. Imbalanced TX…
We consider the non-stationary stochastic lot sizing problem with backorder costs and make a cost comparison among different lot-sizing strategies. We initially provide an overview of the strategies and some corresponding solution…
Assignment games represent a tractable yet versatile model of two-sided markets with transfers. We study the likely properties of the core of randomly generated assignment games. If the joint productivities of every firm and worker are…
We consider the problem of learning how to optimally allocate treatments whose cost is uncertain and can vary with pre-treatment covariates. This setting may arise in medicine if we need to prioritize access to a scarce resource that…
Sequential allocation is a simple allocation mechanism in which agents are given pre-specified turns and each agents gets the most preferred item that is still available. It has long been known that sequential allocation is not…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
We observe the effects of the three different events that cause spread changes in the order book, namely trades, deletions and placement of limit orders. By looking at the frequencies of the relative amounts of price changing events, we…
In many applications such as rationing medical care and supplies, university admissions, and the assignment of public housing, the decision of who receives an allocation can be justified by various normative criteria. Such settings have…
The interoperability across multiple or many blockchains would play a critical role in the forthcoming blockchain-based data management paradigm. In particular, how to ensure the ACID properties of those transactions across an arbitrary…
This paper addresses the trade-off between internalisation and externalisation in the management of stochastic trade flows. We consider agents who must absorb flows and manage risk by deciding whether to warehouse it or hedge in the market,…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
Blockchain is a technology that provides a distributed ledger that stores previous records while maintaining consistency and security. Bitcoin is the first and largest decentralized electronic cryptographic system that uses blockchain…
In blockchain-based order book systems, buyers and sellers trade assets, while it is miners to match them and include their transactions in the blockchain. It is found that many miners behave selfishly and myopically, prioritizing…
We investigate effects of ordering in blocked matrix--matrix multiplication. We find that submatrices do not have to be stored contiguously in memory to achieve near optimal performance. Instead it is the choice of execution order of the…
We present a preliminary proposal for an analytical model for evaluating the impact on performance of data access patterns in concurrent transaction execution. We consider the case of concurrency control protocols that use locking to ensure…
Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solution of DT-NT-DT form for an arbitrary model in which the the…