Related papers: Trade Execution Flow as the Underlying Source of M…
Power grids are moving towards 100% renewable energy source bulk power grids, and the overall dynamics of power system operations and electricity markets are changing. The electricity markets are not only dispatching resources economically…
Nondeterminism in scheduling is the cardinal reason for difficulty in proving correctness of concurrent programs. A powerful proof strategy was recently proposed [6] to show the correctness of such programs. The approach captured data-flow…
Researchers and electricity sector practitioners frequently require the supply curve of electricity markets and the price elasticity of supply for purposes such as price forecasting, policy analyses or market power assessment. It is common…
We provide a large deviations analysis of deadlock phenomena occurring in distributed systems sharing common resources. In our model transition probabilities of resource allocation and deallocation are time and space dependent. The process…
Competitive equilibrium is a central concept in economics with numerous applications beyond markets, such as scheduling, fair allocation of goods, or bandwidth distribution in networks. Computation of competitive equilibria has received a…
We consider a process on $\mathbb{T}^2$, which consists of fast motion along the stream lines of an incompressible periodic vector field perturbed by white noise. It gives rise to a process on the graph naturally associated to the structure…
The complexity of round robin method of intraprocedural data flow analysis is measured in number of iterations over the control flow graph. Existing complexity bounds realistically explain the complexity of only Bit-vector frameworks which…
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP)…
Differentiable optimal control, particularly differentiable nonlinear model predictive control (NMPC), provides a powerful framework that enjoys the complementary benefits of machine learning and control theory. A key enabler of…
When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of…
By analyzing empirical time headway distributions of traffic flow, a hypothesis about the underlying stochastic process can be drawn. The results found lead to the assumption that the headways $T_i$ of individual vehicles follow a linear…
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…
Extreme events are ubiquitous in a wide range of dynamical systems, including turbulent fluid flows, nonlinear waves, large scale networks and biological systems. Here, we propose a variational framework for probing conditions that trigger…
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders. We use intra-day data from the…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
The meaning of thermodynamic descriptions is found in large-deviations scaling of the fluctuations probabilities. The primary large-deviations rate function is the entropy, which is the basis for both fluctuation theorems and for…
Semi-Markov processes play an important role in the effective description of partially accessible systems in stochastic thermodynamics. They occur, for instance, in coarse-graining procedures such as state lumping and when analyzing waiting…
We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
The intricate dynamics of stock markets have led to extensive research on models that are able to effectively explain their inherent complexities. This study leverages the econometrics literature to explore the dynamic factor model as an…