Related papers: Trading Prophets: How to Trade Multiple Stocks Opt…
By successfully solving the problem of forecasting, the processes in the work of various companies are optimized and savings are achieved. In this process, the analysis of time series data is of particular importance. Since the creation of…
It is a difficult task for both professional investors and individual traders continuously making profit in stock market. With the development of computer science and deep reinforcement learning, Buy\&Hold (B\&H) has been oversteped by many…
Prophet inequalities are a useful tool for designing online allocation procedures and comparing their performance to the optimal offline allocation. In the basic setting of $k$-unit prophet inequalities, the well-known procedure of Alaei…
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple…
In the buyback problem, an algorithm observes a sequence of bids and must decide whether to accept each bid at the moment it arrives, subject to some constraints on the set of accepted bids. Decisions to reject bids are irrevocable, whereas…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
In the prophet secretary problem, $n$ values are drawn independently from known distributions, and presented in a uniformly random order. A decision-maker must accept or reject each value when it is presented, and may accept at most $k$…
Multi-task learning is a powerful method for solving multiple correlated tasks simultaneously. However, it is often impossible to find one single solution to optimize all the tasks, since different tasks might conflict with each other.…
In a matroid secretary problem, one is presented with a sequence of objects of various weights in a random order, and must choose irrevocably to accept or reject each item. There is a further constraint that the set of items selected must…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
It is a common misconception that in order to make consistent profits as a trader, one needs to posses some extra information leading to an asset value estimation more accurate than that reflected by the current market price. While the idea…
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares throughout the trading period and seek to maximize their…
In a multiple-object auction, every bidder tries to win as many objects as possible with a bidding algorithm. This paper studies position-randomized auctions, which form a special class of multiple-object auctions where a bidding algorithm…
We study the role of contextual information in the online learning problem of brokerage between traders. In this sequential problem, at each time step, two traders arrive with secret valuations about an asset they wish to trade. The learner…
In markets where algorithmic data processing is increasingly prevalent, recommendation algorithms can substantially affect trade and welfare. We consider a setting in which an algorithm recommends a product based on its value to the buyer…
We study single-sample prophet inequalities (SSPIs), i.e., prophet inequalities where only a single sample from each prior distribution is available. Besides a direct, and optimal, SSPI for the basic single choice problem [Rubinstein et…
Technical indicators use graphic representations of data sets by applying various mathematical formulas to financial time series of prices. These formulas comprise a set of rules and parameters whose values are not necessarily known and…
Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…