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This paper proposes a Real-Time Market (RTM) platform for an aggregator and its corresponding prosumers to participate in the electricity wholesale market. The proposed energy market platform is modeled as a bilevel optimization problem…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…
In this letter, we investigate the problem of actuator scheduling for networked control systems. Given a stochastic linear system with a number of actuators, we consider the case that one actuator is activated at each time. This problem is…
We consider the problem of merchant storage participating in the regulation market with state-of-charge (SoC) dependent bids. Because storage can simultaneously provide regulation up and regulation down capacities, the market-clearing…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so,…
Price differentiation is a common strategy in many markets. In this paper, we study a static multiproduct price optimization problem with demand given by a discrete mixed multinomial logit model. By considering a mixed logit model that…
This paper investigates the problem of regulating in real time a linear dynamical system to the solution trajectory of a time-varying constrained convex optimization problem. The proposed feedback controller is based on an adaptation of the…
Finding the optimal product prices and product assortment are two fundamental problems in revenue management. Usually, a seller needs to jointly determine the prices and assortment while managing a network of resources with limited…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and…
We consider multi-agent, convex optimization programs subject to separable constraints, where the constraint function of each agent involves only its local decision vector, while the decision vectors of all agents are coupled via a common…
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and…
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…
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…
Stochastic matching is the stochastic version of the well-known matching problem, which consists in maximizing the rewards of a matching under a set of probability distributions associated with the nodes and edges. In most stochastic…
Time-varying non-convex continuous-valued non-linear constrained optimization is a fundamental problem. We study conditions wherein a momentum-like regularising term allow for the tracking of local optima by considering an ordinary…
In this paper, we propose a framework to solve a demand-supply optimization problem of long-term water resource allocation on a multi-connection reservoir network which, in two aspects, is different to the problem considered in previous…