Related papers: Data-Driven Stochastic Optimal Control for Intrada…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales…
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…
Distributed model predictive control methods for uncertain systems often suffer from considerable conservatism and can tolerate only small uncertainties due to the use of robust formulations that are amenable to distributed design and…
We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trades against them to exploit price overreactions induced by…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
The stochastic differential equation (SDE)-based random process models of volatile renewable energy sources (RESs) jointly capture the evolving probability distribution and temporal correlation in continuous time. It has enabled recent…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
Observing stochastic trajectories with rare transitions between states, practically undetectable on time scales accessible to experiments, makes it impossible to directly quantify the entropy production and thus infer whether and how far…
The roll-out of stochastic renewable energy sources (RES) undermines the efficiency of power system and market operations. This paper proposes an approach to derive electricity prices that internalize RES stochasticity. We leverage a…
This paper proposes a new convex model predictive control strategy for dynamic optimal power flow between battery energy storage systems distributed in an AC microgrid. The proposed control strategy uses a new problem formulation, based on…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
Distribution locational marginal prices (DLMPs) facilitate the efficient operation of low-voltage electric power distribution systems. We propose an approach to internalize the stochasticity of renewable distributed energy resources (DERs)…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
We study a an optimal high frequency trading problem within a market microstructure model designed to be a good compromise between accuracy and tractability. The stock price is driven by a Markov Renewal Process (MRP), while market orders…
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…