Related papers: A Short Note on Setting Swap Parameters
In multi-objective optimization, a single decision vector must balance the trade-offs between many objectives. Solutions achieving an optimal trade-off are said to be Pareto optimal: these are decision vectors for which improving any one…
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekstr\"om, Lindberg and Tysk studied the problem of…
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…
Buying or selling assets leads to transaction costs for the investor. On one hand, it is well know to all market practionaires that the transaction costs are positive on average and present therefore systematic loss. On the other hand, for…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
This paper considers a sequence of random variables generated according to a common distribution. The distribution might undergo periods of transient changes at an unknown set of time instants, referred to as change-points. The objective is…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
When allocating indivisible items, there are various ways to use monetary transfers for eliminating envy. Particularly, one can apply a balanced vector of transfer payments, or charge each agent a positive amount, or -- contrarily -- give…
Given a multi-modal dynamical system, optimal switching logic synthesis involves generating the conditions for switching between the system modes such that the resulting hybrid system satisfies a quantitative specification. We formalize and…
We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal…
A money transfer involves a buyer and a seller. A buyer buys goods or services from a seller. The money the buyer decreases is the same as that the seller increases. At each time step, a pair of socially connected agents are selected and…
In this paper, a distributed convex optimization framework is developed for energy trading between islanded microgrids. More specifically, the problem consists of several islanded microgrids that exchange energy flows by means of an…
In this paper, we delve into the problem of using monetary incentives to encourage players to shift from an initial Nash equilibrium to a more favorable one within a game. Our main focus revolves around computing the minimum reward required…
This paper considers an opportunistic scheduling problem over a renewal system. A controller observes a random event at the beginning of each renewal frame and then chooses an action in response to the event, which affects the duration of…
The feasibility of XRP as a liquidity medium in cross-border transactions is assessed in this paper using a thorough stochastic framework. We use simulations of settlement latency, regime-switching volatility, and jump-diffusion models. The…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a framework to jointly identify similar assets through factors, identify mispricing and form a trading policy that maximizes risk-adjusted…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
In the evolving domain of cryptocurrency markets, accurate token valuation remains a critical aspect influencing investment decisions and policy development. Whilst the prevailing equation of exchange pricing model offers a quantitative…
We introduce a new operational technique for deriving chain rules for general information theoretic quantities. This technique is very different from the popular (and in some cases fairly involved) methods like SDP formulation and operator…
In this paper we study substitutions on $A^\mathbb{Z}$ where $A$ is a finite alphabet. We precisely characterize the minimal components of substitution subshifts, give an optimal bound for their number and describe their dynamics. The…