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The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
Deep hedging (Buehler et al. 2019) is a versatile framework to compute the optimal hedging strategy of derivatives in incomplete markets. However, this optimal strategy is hard to train due to action dependence, that is, the appropriate…
There are a multitude of Blockchain-based physical infrastructure systems, operating on a crypto-currency enabled token economy, where infrastructure suppliers are rewarded with tokens for enabling, validating, managing and/or securing the…
We propose a grid-based methodology for online changepoint detection that allows offline changepoint tests to be applied to sequentially observed data. The methodology achieves low update and storage costs by testing for changepoints over a…
Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
Blockchain offers a decentralized, immutable, transparent system of records. It offers a peer-to-peer network of nodes with no centralised governing entity making it unhackable and therefore, more secure than the traditional paper-based or…
Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous standard labels and even construct our own ones. The labels rely…
The democratization of artificial intelligence through decentralized networks represents a paradigm shift in computational provisioning, yet the long-term viability of these ecosystems is critically endangered by the extreme volatility of…
The need for data trading promotes the emergence of data market. However, in conventional data markets, both data buyers and data sellers have to use a centralized trading platform which might be dishonest. A dishonest centralized trading…
This paper proposes a hybrid approach to optimal day-ahead pricing for demand response management. At the customer-side, compared with the existing work, a detailed, comprehensive and complete energy management system, which includes all…
Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…
The rapid growth of crypto markets has opened new opportunities for investors, but at the same time exposed them to high volatility. To address the challenge of managing dynamic portfolios in such an environment, this paper presents a…
Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with…
Purpose: This study introduces a novel framework for identifying and exploiting predictive lead-lag relationships in financial markets. We propose an integrated approach that combines advanced statistical methodologies with machine learning…
In the realm of online advertising, advertisers partake in ad auctions to obtain advertising slots, frequently taking advantage of auto-bidding tools provided by demand-side platforms. To improve the automation of these bidding systems, we…
We propose a new approach for trading VIX futures. We assume that the term structure of VIX futures follows a Markov model. Our trading strategy selects a position in VIX futures by maximizing the expected utility for a day-ahead horizon…
Dynamic spectrum access is a new paradigm of secondary spectrum utilization and sharing. It allows unlicensed secondary users (SUs) to exploit opportunistically the under-utilized licensed spectrum. Market mechanism is a widely-used…
As the share of variable renewable energy sources increases in the electricity mix, new solutions are needed to build a flexible and reliable grid. Energy arbitrage with battery storage systems supports renewable energy integration into the…
The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price volatility while maintaining stability of the power grid. This…