Related papers: Optimal execution on Uniswap v2/v3 under transient…
In this paper, we consider the problem of distributed consensus optimization over multi-agent networks with directed network topology. Assuming each agent has a local cost function that is smooth and strongly convex, the global objective is…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
We address the solution of Mixed Integer Linear Programming (MILP) models with strong relaxations that are derived from Dantzig-Wolfe decompositions and allow a pseudo-polynomial pricing algorithm. We exploit their network-flow…
Accurate structural relaxation is critical for advanced materials design. Traditional approaches built on physics-derived first-principles calculations are computationally expensive, motivating the creation of machine-learning interatomic…
This paper investigates two optimization criteria for damping optimization in a multi-body oscillator system with arbitrary degrees of freedom ($n$), resembling string/rod free vibrations. The total average energy over all possible initial…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…
We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is…
In this paper I propose a novel approach to Volume Weighted Average Price (VWAP) execution that addresses two key practical challenges: the need for asset-specific model training and the capture of complex temporal dependencies. Building…
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A…
Transferring the optimal learning rate from small to large neural networks can enable efficient training at scales where hyperparameter tuning is otherwise prohibitively expensive. To this end, the Maximal Update Parameterization (muP)…
The report goes through the main steps of replicating and improving the article "Adaptive Liquidity Provision in Uniswap V3 with Deep Reinforcement Learning." The replication part includes how to obtain data from the Uniswap Subgraph,…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…
Constant Product Market Makers use fees that are typically fixed proportions of trade size. When these fees are automatically reinvested into the pool, as in Uniswap~V2 and some designs of Uniswap V4, the final state after a trade can…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
We study the problem of the execution of a moderate size order in an illiquid market within the framework of a solvable Markovian model. We suppose that in order to avoid impact costs, a trader decides to execute her order through a unique…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
The recent deployment of distributed battery units in prosumer premises offer new opportunities for providing aggregated flexibility services to both distribution system operators and balance responsible parties. The optimization problem…
We consider the problem of estimating a probability distribution that maximizes the entropy while satisfying a finite number of moment constraints, possibly corrupted by noise. Based on duality of convex programming, we present a novel…