Related papers: Unwinding Stochastic Order Flow: When to Warehouse…

This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…

In this work, we study how to efficiently apply reinforcement learning (RL) for solving large-scale stochastic optimization problems by leveraging intervention models. The key of the proposed methodology is to better explore the solution…

Deep unrolling, or unfolding, is an emerging learning-to-optimize method that unrolls a truncated iterative algorithm in the layers of a trainable neural network. However, the convergence guarantees and generalizability of the unrolled…

This paper deals with the problem of clearing sequential electricity markets under uncertainty. We consider the European approach, where reserves are traded separately from energy to meet exogenous reserve requirements. Recently pro- posed…

This study presents a comprehensive approach to optimizing inventory management under stochastic demand by leveraging Monte Carlo Simulation (MCS) with grid search and Bayesian optimization. By using a business case of historical demand…

This paper addresses the two-stocking locations single item non-stationary stochastic lot-sizing problem. The inventory level at each location is reviewed periodically. Items can be reordered and received from a common central warehouse and…

Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…

In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…

The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…

Optimal Order Execution is a well-established problem in finance that pertains to the flawless execution of a trade (buy or sell) for a given volume within a specified time frame. This problem revolves around optimizing returns while…

In a call center, staffing decisions must be made before the call arrival rate is known with certainty. Then, once the arrival rate becomes known, the call center may be over-staffed, in which case staff are being paid to be idle, or…

This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…

We consider a periodic-review, fixed-lifetime perishable inventory control problem where demand is a general stochastic process. The optimal solution for this problem is intractable due to "curse of dimensionality". In this paper, we first…

Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB)…

This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…

The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…

We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…

We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…

In this paper, we consider stochastic clearing systems with multiple drifted Brownian motion inputs. First, we propose an instantaneous rate policy, which is shown to be the optimal one among a large class of renewal type clearing policies…

A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…