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This paper addresses the challenges faced in large-volume trading, where executing substantial orders can result in significant market impact and slippage. To mitigate these effects, this study proposes a volatility-volume-based order…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices…
Maximal Extractable Value (MEV) searching has gained prominence on the Ethereum blockchain since the surge in Decentralized Finance activities. In Ethereum, MEV extraction primarily hinges on fee payments to block proposers. However, in…
The chaotic nature of fluid flow and the uncertainties in initial conditions limit predictability. Small errors that occur in the initial condition can grow exponentially until they saturate at $\mathcal{O}$(1). Ensemble forecasting…
We study multi-item profit maximization when there is an underlying distribution over buyers' values. In practice, a full description of the distribution is typically unavailable, so we study the setting where the mechanism designer only…
Maximal (also miner) extractable value, or MEV, usually refers to the value that privileged players can extract by strategically ordering, censoring, and placing transactions in a blockchain. Each blockchain network, which we refer to as a…
In recent decades, companies have frequently adopted share repurchase programs to return capital to shareholders or for other strategic purposes, instructing investment banks to rapidly buy back shares on their behalf. When the executing…
This paper explores the pricing and scheduling strategies of the electric vehicle charging stations in response to the rising demand for cleaner transportation. Most of the existing methods focus on maximizing the energy efficiency or the…
We discuss investment allocation to multiple alpha streams traded on the same execution platform with internal crossing of trades and point out differences with allocating investment when alpha streams are traded on separate execution…
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the…
We provide an economic model of Execution Tickets and use it to study the ability of the Ethereum protocol to capture MEV from block construction. We demonstrate that Execution Tickets extract all MEV when all buyers are homogeneous, risk…
In a world of proliferating data, the ability to rapidly summarize text is growing in importance. Automatic summarization of text can be thought of as a sequence to sequence problem. Another area of natural language processing that solves a…
This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a…
Optimal execution is a sequential decision-making problem for cost-saving in algorithmic trading. Studies have found that reinforcement learning (RL) can help decide the order-splitting sizes. However, a problem remains unsolved: how to…
In the context of blockchain, MEV refers to the maximum value that can be extracted from block production through the inclusion, exclusion, or reordering of transactions. Searchers often participate in order flow auctions (OFAs) to obtain…
We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
Situations where a group of agents come together to jointly buy a resource that they individually cannot afford to buy are commonly observed in markets. For example in the US market for radio spectrum, a recent proposal invited small firms…
Statistical arbitrage methods identify mispricings in securities with the goal of building portfolios which are weakly correlated with the market. In pairs trading, an arbitrage opportunity is identified by observing relative price…