Related papers: Event-Time Anchor Selection for Multi-Contract Quo…
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this…
Mobile inventory, mobile commerce, banking and/or commercial applications are some distinctive examples that increasingly use distributed transactions. It is inevitably harder to design efficient commit protocols, due to some intrinsic…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
Security bugs and trapdoors in smart contracts have been impacting the Ethereum community since its inception. Conceptually, the 1.45-million Ethereum's contracts form a single "gigantic program" whose behaviors are determined by the…
A new general procedure for a priori selection of more predictable events from a time series of observed variable is proposed. The procedure is applicable to time series which contains different types of events that feature significantly…
This paper considers the robustness of event-triggered control of general linear systems against additive or multiplicative frequency-domain uncertainties. It is revealed that in static or dynamic event triggering mechanisms, the sampling…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by their quoted price and how often their orders are…
In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to…
Aggregating risks from multiple sources can be complex and demanding, and decision makers usually adopt heuristics to simplify the evaluation process. This paper axiomatizes two closed related and yet different heuristics, narrow bracketing…
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the…
As foundation models grow in size, fine-tuning them becomes increasingly expensive. While GPU spot instances offer a low-cost alternative to on-demand resources, their volatile prices and availability make deadline-aware scheduling…
We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40.…
Co-flows model a modern scheduling setting that is commonly found in a variety of applications in distributed and cloud computing. In co-flow scheduling, there are $m$ input ports and $m$ output ports. Each co-flow $j \in J$ can be…
A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
We develop and justify methodology to consistently test for long-horizon return predictability based on realized variance. To accomplish this, we propose a parametric transaction-level model for the continuous-time log price process based…
A multiplicity queue is a concurrently-defined data type which relaxes the conditions of a linearizable FIFO queue to allow concurrent Dequeue instances to return the same value. It would seem that this should allow faster implementations,…
The problem of increased queueing delays in the Internet motivates the study of currently implemented transport protocols and active queue management (AQM) policies. We study Compound TCP (default protocol in Windows) with Random Early…