Related papers: Event-Time Anchor Selection for Multi-Contract Quo…
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which…
In an order-driven financial market, the price of a financial asset is discovered through the interaction of orders - requests to buy or sell at a particular price - that are posted to the public limit order book (LOB). Therefore, LOB data…
We investigate the downlink scheduling problem under Markovian ON/OFF fading channels, where the instantaneous channel state information is not directly accessible, but is revealed via ARQ-type feedback. The scheduler can exploit the…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
Modern blockchain applications benefit from the ability to specify sequencing constraints on the transactions that interact with them. This paper proposes a principled and axiomatically justified way of adding sequencing constraints on…
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of…
In this paper, we consider context-awareness to enhance route reliability and robustness in multi-hop cognitive networks. A novel context-aware route discovery protocol is presented to enable secondary users to select the route according to…
Ensuring safety in autonomous multi-agent systems during time-critical tasks such as rendezvous is a fundamental challenge, particularly under communication delays and uncertainty in system parameters. In this paper, we develop a…
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…
This paper discusses preliminary investigations on the monitorability of contracts for web service descriptions. There are settings where servers do not guarantee statically whether they satisfy some specified contract, which forces the…
Smart contracts play a central role in blockchain systems by encoding financial and operational logic. Still, their susceptibility to subtle security flaws poses significant risks of financial loss and erosion of trust. LLMs create new…
Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil…
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…
Futures are contracts obligating the exchange of an asset at a predetermined date and price, notable for their high leverage and liquidity and, therefore, thrive in the Crypto market. RL has been widely applied in various quantitative…
We develop a rigorous walk-forward validation framework for algorithmic trading designed to mitigate overfitting and lookahead bias. Our methodology combines interpretable hypothesis-driven signal generation with reinforcement learning and…
The recent explosion in the capabilities of large language models has led to a wave of interest in how best to prompt a model to perform a given task. While it may be tempting to simply choose a prompt based on average performance on a…
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are…
With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics…
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…
Modality following is the ability to selectively leverage multimodal contexts based on user instructions. It is fundamental to the safety and reliability of multimodal large language models (MLLMs) in real-world deployments. However, the…