Related papers: A Short Note on Setting Swap Parameters
In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…
In FX cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To mitigate this risk, they typically skew their prices to…
We investigate the structure of the currencies (systems of coins) for which the greedy change-making algorithm always finds an optimal solution (that is, a one with minimum number of coins). We present a series of necessary conditions that…
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch…
In this paper we study a combinatorial reconfiguration problem that involves finding an optimal sequence of swaps to move an initial configuration of tokens that are placed on the vertices of a graph to a final desired one. This problem…
Decentralised exchanges (DEXs) have transformed trading by enabling trustless, permissionless transactions, yet they face significant challenges such as impermanent loss and slippage, which undermine profitability for liquidity providers…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments…
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics.…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
The problem of multi-area interchange scheduling in the presence of stochastic generation and load is considered. A new interchange scheduling technique based on a two-stage stochastic minimization of overall expected operating cost is…
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…
Forecasting the volatility of financial assets is essential for various financial applications. This paper addresses the challenging task of forecasting the volatility of financial assets with limited historical data, such as new issues or…
Stochastic matching is the stochastic version of the well-known matching problem, which consists in maximizing the rewards of a matching under a set of probability distributions associated with the nodes and edges. In most stochastic…
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial market especially, it is important to…
Given a graph where every vertex has exactly one labeled token, how can we most quickly execute a given permutation on the tokens? In (sequential) token swapping, the goal is to use the shortest possible sequence of swaps, each of which…
This contribution deals with a two-level discrete decision problem, a so-called Stackelberg strategic game: A Subset Sum setting is addressed with a set $N$ of items with given integer weights. One distinguished player, the leader, may…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
Ideally, the time that an incremental algorithm uses to process a change should be a function of the size of the change rather than, say, the size of the entire current input. Based on a formalization of ``the set of things changed'' by an…