Related papers: Trading Prophets: How to Trade Multiple Stocks Opt…
We investigate brokerage between traders from an online learning perspective. At any round $t$, two traders arrive with their private valuations, and the broker proposes a trading price. Unlike other bilateral trade problems already studied…
We study the prophet secretary problem, a well-studied variant of the classic prophet inequality, where values are drawn from independent known distributions but arrive in uniformly random order. Upon seeing a value at each step, the…
This paper investigates the online conversion problem, which involves sequentially trading a divisible resource (e.g., energy) under dynamically changing prices to maximize profit. A key challenge in online conversion is managing decisions…
Prophet inequalities are a central object of study in optimal stopping theory. In the iid model, a gambler sees values in an online fashion, sampled independently from a given distribution. Upon observing each value, the gambler either…
This paper develops learning-augmented algorithms for energy trading in volatile electricity markets. The basic problem is to sell (or buy) $k$ units of energy for the highest revenue (lowest cost) over uncertain time-varying prices, which…
We investigate non-adaptive algorithms for matroid prophet inequalities. Matroid prophet inequalities have been considered resolved since 2012 when [KW12] introduced thresholds that guarantee a tight 2-approximation to the prophet; however,…
Successful quantitative investment usually relies on precise predictions of the future movement of the stock price. Recently, machine learning based solutions have shown their capacity to give more accurate stock prediction and become…
Deep Reinforcement Learning (DRL) algorithms can scale to previously intractable problems. The automation of profit generation in the stock market is possible using DRL, by combining the financial assets price "prediction" step and the…
In the setting of online algorithms, the input is initially not present but rather arrive one-by-one over time and after each input, the algorithm has to make a decision. Depending on the formulation of the problem, the algorithm might be…
For two matroids $\mathcal{M}_1$ and $\mathcal{M}_2$ defined on the same ground set $E$, the online matroid intersection problem is to design an algorithm that constructs a large common independent set in an online fashion. The algorithm is…
We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…
Due to their numerous applications, in particular in Mechanism Design, Prophet Inequalities have experienced a surge of interest. They describe competitive ratios for basic stopping time problems where random variables get revealed…
This paper studies some basic problems in a multiple-object auction model using methodologies from theoretical computer science. We are especially concerned with situations where an adversary bidder knows the bidding algorithms of all the…
In this paper, we study $k$-unit single sample prophet inequalities. A seller has $k$ identical, indivisible items to sell. A sequence of buyers arrive one-by-one, with each buyer's private value for the item, $X_i$, revealed to the seller…
In this work, we study a scenario where a publisher seeks to maximize its total revenue across two sales channels: guaranteed contracts that promise to deliver a certain number of impressions to the advertisers, and spot demands through an…
Pairs-trading is a trading strategy that involves matching a long position with a short position in two stocks aiming at market-neutral profits. While a typical pairs-trading system monitors the prices of two statistically correlated stocks…
Most of the literature on online algorithms in revenue management focuses on settings with irrevocable decisions, where once a decision is made upon the arrival of a new input, it cannot be canceled later. Motivated by modern applications…
Prophet inequality concerns a basic optimal stopping problem and states that simple threshold stopping policies -- i.e., accepting the first reward larger than a certain threshold -- can achieve tight $\frac{1}{2}$-approximation to the…
We design novel mechanisms for welfare-maximization in two-sided markets. That is, there are buyers willing to purchase items and sellers holding items initially, both acting rationally and strategically in order to maximize utility. Our…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…