Related papers: Algorithms for Claims Trading
We investigate a variant of the so-called "Internet Shopping Problem" introduced by Blazewicz et al. (2010), where a customer wants to buy a list of products at the lowest possible total cost from shops which offer discounts when purchases…
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent is trading on a market with two financial assets, whose…
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,…
We explore the clearing problem in the barter exchange market. The problem, described in the terminology of graph theory, is to find a set of vertex-disjoint, length-restricted cycles that maximize the total weight in a weighted digraph.…
Consider a planar graph $G=(V,E)$ with polynomially bounded edge weight function $w:E\to [0, poly(n)]$. The main results of this paper are NC algorithms for the following problems: - minimum weight perfect matching in $G$, - maximum…
Contemporary deep learning based solution methods used to compute approximate equilibria of high-dimensional dynamic stochastic economic models are often faced with two pain points. The first problem is that the loss function typically…
Finding a minimum vertex cover in a network is a fundamental NP-complete graph problem. One way to deal with its computational hardness, is to trade the qualitative performance of an algorithm (allowing non-optimal outputs) for an improved…
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three…
We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges.…
We consider an online version of the well-studied network utility maximization problem, where users arrive one by one and an operator makes irrevocable decisions for each user without knowing the details of future arrivals. We propose a…
The combination of the network theoretic approach with recently available abundant economic data leads to the development of novel analytic and computational tools for modelling and forecasting key economic indicators. The main idea is to…
We consider the problem of optimally compressing and caching data across a communication network. Given the data generated at edge nodes and a routing path, our goal is to determine the optimal data compression ratios and caching decisions…
We consider a fundamental dynamic allocation problem motivated by the problem of $\textit{securities lending}$ in financial markets, the mechanism underlying the short selling of stocks. A lender would like to distribute a finite number of…
This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial interbank network.…
Given a graph with edge costs and vertex profits and given a budget B, the Orienteering Problem asks for a walk of cost at most B of maximum profit. Additionally, each profit may be given with a time window within it can be collected by the…
We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and…
We consider a monopolist seller facing a single buyer with additive valuations over n heterogeneous, independent items. It is known that in this important setting optimal mechanisms may require randomization [HR12], use menus of infinite…
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when optimal investment and reinsurance strategies have to be…
Decision-theoretic troubleshooting is one of the areas to which Bayesian networks can be applied. Given a probabilistic model of a malfunctioning man-made device, the task is to construct a repair strategy with minimal expected cost. The…
We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…