Related papers: Leveraging IS and TC: Optimal order execution subj…

In this paper, reinforcement learning is applied to the problem of optimizing market making. A multi-agent reinforcement learning framework is used to optimally place limit orders that lead to successful trades. The framework consists of…

An agent holds a position in a perpetual contract with payoff function $\psi$ and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rate payments. By solving the agent's stochastic control…

This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of…

This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…

In this article, a model predictive control (MPC) method is proposed for constrained linear systems to track bounded references with arbitrary dynamics. Besides control inputs to be determined, artificial reference is introduced as…

Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…

Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, who wish to trade a good. We study this problem from the perspective of a profit-maximizing broker within an online learning framework,…

This paper addresses a fundamental and practically significant problem in call centre operations -- determining optimal call allocation policies that meet client service targets while minimising staffing costs. Motivated by a problem…

We develop a continuous-time control approach to optimal trading in a Proof-of-Stake (PoS) blockchain, formulated as a consumption-investment problem that aims to strike the optimal balance between a participant's (or agent's) utility from…

We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40.…

We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the…

Meta learning is a promising paradigm in the era of large models and task distributional robustness has become an indispensable consideration in real-world scenarios. Recent advances have examined the effectiveness of tail task risk…

We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…

We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trades against them to exploit price overreactions induced by…

In this paper, we address a key issue of designing architectures and algorithms which generate optimal demand response in a decentralized manner for a smart-grid consisting of several stochastic renewables and dynamic loads. By optimal…

Exploration in unknown environments is a fundamental problem in reinforcement learning and control. In this work, we study task-guided exploration and determine what precisely an agent must learn about their environment in order to complete…

Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…

In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…

In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was initially motivated by the problem of designing optimal…

Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank's trading book under the Basel 2.5 Accord…