Related papers: Algorithms for Claims Trading
In the weighted bipartite matching problem, the goal is to find a maximum-weight matching in a bipartite graph with nonnegative edge weights. We consider its online version where the first vertex set is known beforehand, but vertices of the…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
Many decision-making algorithms draw inspiration from the inner workings of individual biological systems. However, it remains unclear whether collective behavior among biological species can also lead to solutions for computational tasks.…
In routing games, agents pick their routes through a network to minimize their own delay. A primary concern for the network designer in routing games is the average agent delay at equilibrium. A number of methods to control this average…
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional…
In the Markov paging model, one assumes that page requests are drawn from a Markov chain over the pages in memory, and the goal is to maintain a fast cache that suffers few page faults in expectation. While computing the optimal online…
Searching for optimal ways in a network is an important task in multiple application areas such as social networks, co-citation graphs or road networks. In the majority of applications, each edge in a network is associated with a certain…
Financial networks model a set of financial institutions (firms) interconnected by obligations. Recent work has introduced to this model a class of obligations called credit default swaps, a certain kind of financial derivatives. The main…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
In a large-scale network, we want to choose some influential nodes to make a profit by paying some cost within a limited budget so that we do not have to spend more budget on some nodes adjacent to the chosen nodes; our problem is the…
This paper considers the vehicle routing problem with stochastic demands (VRPSD) under optimal restocking. We develop an exact algorithm that is effective for solving instances with many vehicles and few customers per route. In our…
We introduce a `concrete complexity' model for studying algorithms for matching in bipartite graphs. The model is based on the "demand query" model used for combinatorial auctions. Most (but not all) known algorithms for bipartite matching…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
In this work we study approximation algorithms for the \textit{Bounded Color Matching} problem (a.k.a. Restricted Matching problem) which is defined as follows: given a graph in which each edge $e$ has a color $c_e$ and a profit $p_e \in…
Demand response has been a promising solution for accommodating renewable energy in power systems. In this study, we consider a demand response scheme within a distribution network facing an energy supply deficit. The utility company…
In this paper we consider the Stochastic Matching problem, which is motivated by applications in kidney exchange and online dating. We are given an undirected graph in which every edge is assigned a probability of existence and a positive…
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…