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High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
We provide algorithms that learn simple auctions whose revenue is approximately optimal in multi-item multi-bidder settings, for a wide range of valuations including unit-demand, additive, constrained additive, XOS, and subadditive. We…
Boundary time crystals (BTCs) break time-translation symmetry and exhibit long-lived, robust oscillations insensitive to initial conditions. We show that collective spin BTCs can admit emergent topological winding numbers in operator space.…
Markov decision processes (MDPs) are a popular model for performance analysis and optimization of stochastic systems. The parameters of stochastic behavior of MDPs are estimates from empirical observations of a system; their values are not…
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex…
Autonomous robots are increasingly utilized in realistic scenarios with multiple complex tasks. In these scenarios, there may be a preferred way of completing all of the given tasks, but it is often in conflict with optimal execution.…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
Although multi-tier vehicular Metaverse promises to transform vehicles into essential nodes -- within an interconnected digital ecosystem -- using efficient resource allocation and seamless vehicular twin (VT) migration, this can hardly be…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
Financial fraud detection in transaction networks involves modeling sparse anomalies, dynamic patterns, and severe class imbalance in the presence of temporal drift in the data. In real-world transaction systems, a suspicious transaction is…
We propose a game theoretic framework for task allocation in mobile cloud computing that corresponds to offloading of compute tasks to a group of nearby mobile devices. Specifically, in our framework, a distributor node holds a…
This paper develops a unified explicit solution theory for optimal execution through sequential limit-order placement in a limit order book. Rather than controlling only the trading speed of a metaorder, we determine how individual limit…
Distributed clusters like the Grid and PlanetLab enable the same statistical multiplexing efficiency gains for computing as the Internet provides for networking. One major challenge is allocating resources in an economically efficient and…
Asset allocation (or portfolio management) is the task of determining how to optimally allocate funds of a finite budget into a range of financial instruments/assets such as stocks. This study investigated the performance of reinforcement…
We consider the problem of fairly allocating the vertices of a graph among $n$ agents, where the value of a bundle is determined by its cut value -- the number of edges with exactly one endpoint in the bundle. This model naturally captures…