Related papers: Unwinding Stochastic Order Flow: When to Warehouse…
Truckload procurement plays a vital role in integrated container logistics, particularly under the uncertainties of container flow and market conditions. We formulate the operational volume allocation problem in drayage procurement as a…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash-flows are discounted at a stochastic dynamic rate. Dividends…
We propose a limit order book (LOB) model with dynamics that account for both the impact of the most recent order and the shape of the LOB. We present an empirical analysis showing that the type of the last order significantly alters the…
We study the classical single-item inventory system in which unsatisfied demands are backlogged. Replenishment lead times are random, independent identically distributed, causing orders to cross in time. We develop a new inventory policy to…
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…
We consider the problem of online scheduling on a single machine in order to minimize weighted flow time. The existing algorithms for this problem (STOC '01, SODA '03, FOCS '18) all require exact knowledge of the processing time of each…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
We propose an analytically tractable class of models for the dynamics of a limit order book, described through a stochastic partial differential equation (SPDE) with multiplicative noise for the order book centered at the mid-price, along…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
The Container Relocation Problem (CRP) is concerned with finding a sequence of moves of containers that minimizes the number of relocations needed to retrieve all containers, while respecting a given order of retrieval. However, the…
This paper considers the control of uncertain systems that are operated under limited resource factors, such as battery life or hardware longevity. We consider here resource-aware self-triggered control techniques that schedule system…
High-frequency trading is prevalent, where automated decisions must be made quickly to take advantage of price imbalances and patterns in price action that forecast near-future movements. While many algorithms have been explored and tested,…
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…
This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stochastic paradigm and the reserve requirements are determined…
High-frequency quantitative investment is a crucial aspect of stock investment. Notably, order flow data plays a critical role as it provides the most detailed level of information among high-frequency trading data, including comprehensive…
An innovative numerical technique is presented to adjust the inflow to a supply chain in order to achieve a desired outflow, reducing the costs of inventory, or the goods timing in warehouses. The supply chain is modelled by a conservation…