Related papers: Trading Prophets with Initial Capital
The study of the prophet inequality problem in the limited information regime was initiated by Azar et al. [SODA'14] in the pursuit of prior-independent posted-price mechanisms. As they show, $O(1)$-competitive policies are achievable using…
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and a binding exogenous portfolio…
The problem of stock hedging is reconsidered in this paper, where a put option is chosen from a set of available put options to hedge the market risk of a stock. A formula is proposed to determine the probability that the potential loss…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
Suppose you have one unit of stock, currently worth 1, which you must sell before time $T$. The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1.…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets, and who has access to imperfect dynamically updated forecasts of the future…
The delayed feedback problem is one of the imperative challenges in online advertising, which is caused by the highly diversified feedback delay of a conversion varying from a few minutes to several days. It is hard to design an appropriate…
Prophet inequalities bound the expected reward that can be obtained in a stopping problem by the optimal reward of its corresponding off-line version. We propose a systematic technique for deriving prophet inequalities for stopping problems…
Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the…
Let X_1,X_2,... be a sequence of [0,1]-valued i.i.d. random variables, let c\geq 0 be a sampling cost for each observation and let Y_i=X_i-ic, i=1,2,.... For n=1,2,..., let M(Y_1,...,Y_n)=E(max_{1\leq i\leq n}Y_i) and…
It is a common misconception that in order to make consistent profits as a trader, one needs to posses some extra information leading to an asset value estimation more accurate than that reflected by the current market price. While the idea…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers' trading intensities, their optimal bid…
The purpose of this paper is to showcase trading strategies that give solutions to three difficult and intriguing problems in business finance, economics and statistics. The paper discusses trading strategies for both commodities and stocks…
Prophet inequalities and secretary problems have been extensively studied in recent years due to their elegance, connections to online algorithms, stochastic optimization, and mechanism design problems in game theoretic settings. Rubinstein…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
We study a class of Bayesian online selection problems with matroid constraints. Consider a vendor who has several items to sell, with the set of sold items being subject to some structural constraints, e.g., the set of sold items should be…
This paper contributes a new machine learning solution for stock movement prediction, which aims to predict whether the price of a stock will be up or down in the near future. The key novelty is that we propose to employ adversarial…
There is a rising interest for studying the online benchmark as an alternative of the classical offline benchmark in online stochastic settings. Ezra, Feldman, Gravin, and Tang (SODA 2023) introduced the notion of order-competitive ratio,…