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Traditional insurance pricing relies on risk-based principles that ensure actuarial fairness and solvency but do not explicitly account for policyholders' price sensitivity. We formulate insurance pricing as a decision-making problem and…
The availability of public computing resources in the cloud has revolutionized data analysis, but requesting cloud resources often involves complex decisions for consumers. Under the current pricing mechanisms, cloud service providers offer…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal…
Rendering fair prices for financial, credit, and insurance products is of ethical and regulatory interest. In many jurisdictions, discriminatory covariates, such as gender and ethnicity, are prohibited from use in pricing such instruments.…
Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus…
Serverless computing platforms currently rely on basic pricing schemes that are static and do not reflect customer feedback. This leads to significant inefficiencies from a total utility perspective. As one of the fastest-growing cloud…
In many resource allocation problems, a centralized controller needs to award some resource to a user selected from a collection of distributed users with the goal of maximizing the utility the user would receive from the resource. This can…
We study a \emph{financial} version of the classic online problem of scheduling weighted packets with deadlines. The main novelty is that, while previous works assume packets have \emph{fixed} weights throughout their lifetime, this work…
We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…
As foundation models grow in size, fine-tuning them becomes increasingly expensive. While GPU spot instances offer a low-cost alternative to on-demand resources, their volatile prices and availability make deadline-aware scheduling…
We consider a revenue maximization model, in which a company aims at designing a menu of contracts, given a population of customers. A standard approach consists in constructing an incentive-compatible continuum of contracts, i.e., a menu…
High-value payment systems (HVPSs) are typically liquidity-intensive as the payment requests are indivisible and settled on a gross basis. Finding the right order in which payments should be processed to maximize the liquidity efficiency of…
Small-to-medium size enterprises (SMEs), including many startup firms, need to manage interrelated flows of cash and inventories of goods. In this paper, we model a firm that can finance its inventory (ordered or manufactured) with loans in…
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as…
This paper studies how a downstream retailer in a decentralized two-tier supply chain can implicitly transmit demand information to an upstream supplier through the structure of its order stream in the absence of an explicit…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
Rapid growth of large loads led by data centers is straining grid capacity. These loads increasingly accept curtailment risk through non-firm interconnection agreements to gain faster grid access, expanding the pool of consumers subject to…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
Organisations often struggle to identify the causes of change in metrics such as product quality and delivery duration. This task becomes increasingly challenging when the cause lies outside of company borders in multi-echelon supply chains…