Related papers: Trading Prophets: How to Trade Multiple Stocks Opt…
We introduce a model of competing agents in a prophet setting, where rewards arrive online, and decisions are made immediately and irrevocably. The rewards are unknown from the outset, but they are drawn from a known probability…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
Consider a gambler and a prophet who observe a sequence of independent, non-negative numbers. The gambler sees the numbers one-by-one whereas the prophet sees the entire sequence at once. The goal of both is to decide on fractions of each…
A variant of the online knapsack problem is considered in the settings of trusted and untrusted predictions. In Unit Profit Knapsack, the items have unit profit, and it is easy to find an optimal solution offline: Pack as many of the…
Numerous recent papers have studied the tension between thickening and clearing a market in (uncertain, online) long-time horizon Markovian settings. In particular, (Aouad and Sarita{\c{c}} EC'20, Collina et al. WINE'20, Kessel et al.…
We consider the prophet inequality problem for (not necessarily bipartite) matching problems with independent edge values, under both edge arrivals and vertex arrivals. We show constant-factor prophet inequalities for the case where 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…
Prophet inequalities consist of many beautiful statements that establish tight performance ratios between online and offline allocation algorithms. Typically, tightness is established by constructing an algorithmic guarantee and a…
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short position is held in another. The goal is to determine the…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…
We consider the online stochastic matching problem for bipartite graphs where edges adjacent to an online node must be probed to determine if they exist, based on known edge probabilities. Our algorithms respect commitment, in that if a…
We study matroid prophet inequalities when distributions are unknown and accessible only through samples. While single-sample prophet inequalities for special matroids are known, no constant-factor competitive algorithm with even a…
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the…
We study a competitive online optimization problem with multiple inventories. In the problem, an online decision maker seeks to optimize the allocation of multiple capacity-limited inventories over a slotted horizon, while the allocation…
In the prophet inequality problem, a gambler faces a sequence of items arriving online with values drawn independently from known distributions. On seeing an item, the gambler must choose whether to accept its value as her reward and quit…
In a classical online decision problem, a decision-maker who is trying to maximize her value inspects a sequence of arriving items to learn their values (drawn from known distributions), and decides when to stop the process by taking the…
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…
Prophet inequalities for rewards maximization are fundamental to optimal stopping theory with extensive applications to mechanism design and online optimization. We study the \emph{cost minimization} counterpart of the classical prophet…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
We consider descending price auctions for selling $m$ units of a good to unit demand i.i.d. buyers where there is an exogenous bound of $k$ on the number of price levels the auction clock can take. The auctioneer's problem is to choose…