Related papers: A Short Note on Setting Swap Parameters
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…
The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the trading pairs can be set freely. However, it…
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…
To achieve interoperability between unconnected ledgers, hash time lock contracts (HTLCs) are commonly used for cross-chain asset exchange. The solution tolerates transaction failure, and can "make the best out of worst'' by allowing…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…
An instance $I$ of the Stable Matching Problem (SMP) is given by a bipartite graph with a preference list of neighbors for every vertex. A swap in $I$ is the exchange of two consecutive vertices in a preference list. A swap can be viewed as…
This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a…
While classical scaling, just like principal component analysis, is parameter-free, other methods for embedding multivariate data require the selection of one or several tuning parameters. This tuning can be difficult due to the…
We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…
This paper focuses on the problem of fairly and efficiently allocating resources to agents. We consider a specific setting, usually referred to as a housing market, where each agent must receive exactly one resource (and initially owns…
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…
We revisit the problem of designing optimal, individually rational matching mechanisms (in a general sense, allowing for cycles in directed graphs), where each player --- who is associated with a subset of vertices --- matches as many of…
We consider swapping of two records in a microdata set for the purpose of disclosure control. We give some necessary and sufficient conditions that some observations can be swapped between two records under the restriction that a given set…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection…
Cross-chain swaps enable exchange of different assets that reside on different blockchains. Several protocols have been proposed for atomic cross-chain swaps. However, those protocols are not fault-tolerant, in the sense that if any party…
This work discusses the benefits of constrained portfolio turnover strategies for small to medium-sized portfolios. We propose a dynamic multi-period model that aims to minimize transaction costs and maximize terminal wealth levels whilst…
This paper considers the problem of finding an optimal order for entanglement swapping in a heterogeneous path of quantum repeaters so as to maximize the path throughput defined as the delivery rate of end-to-end entanglements. The primary…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…