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In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a…

Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…

This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…

Using a suitable change of probability measure, we obtain a novel Poisson series representation for the arbitrage- free price process of vulnerable contingent claims in a regime-switching market driven by an underlying continuous- time…

We consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive orders to a dark…

In this paper, we consider a Markov chain choice model with single transition. In this model, customers arrive at each product with a certain probability. If the arrived product is unavailable, then the seller can recommend a subset of…

We investigate the optimal pricing strategy in a service-providing framework, where customers can leave the system prior to service completion. In this setting, a price is quoted to an incoming customer based on the current number of…

We study a version of the classical Cayley-Moser optimal stopping problem, in which a seller must sell an asset by a given deadline, with the offers, which are independent random variables with a known distribution, arriving at random…

We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…

We describe a novel decision-making problem developed in response to the demands of retail electronic commerce (e-commerce). While working with logistics and retail industry business collaborators, we found that the cost of delivery of…

This study provides a formal analysis of the customer targeting problem when the cost for a marketing action depends on the customer response and proposes a framework to estimate the decision variables for campaign profit optimization.…

This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…

We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…

We propose an online pricing mechanism for electric vehicle (EV) charging. A charging station decides prices for each arriving EV depending on the energy and the time within which the EV will be served (i.e. deadline). The user selects…

With the significant rise in demand for same-day instant deliveries, several courier services are exploring alternatives to transport packages in a cost- and time-effective, as well as, sustainable manner. Motivated by a real-life case…

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…

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…

We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for…

Two-sided matching platforms provide users with menus of match recommendations. To maximize the number of realized matches between the two sides (referred here as customers and suppliers), the platform must balance the inherent tension…

We introduce a new class of adaptive policies called periodic-affine policies, that allows a decision maker to optimally manage and control large-scale newsvendor networks in the presence of uncertain demand without distributional…