Related papers: Explicit Signal-Adaptive Sequential Optimal Execut…
Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…
An attempt to obtain market directional information from non-stationary solution of the dynamic equation: "future price tends to the value maximizing the number of shares traded per unit time" is presented. A remarkable feature of the…
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consists in minimizing mean-variance of the slippage, with…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
We study a sequential profit-maximization problem, optimizing for both price and ancillary variables like marketing expenditures. Specifically, we aim to maximize profit over an arbitrary sequence of multiple demand curves, each dependent…
Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and a set of microstructural features, we…
Given a finite collection of stochastic alternatives, we study the problem of sequentially allocating a fixed sampling budget to identify the optimal alternative with a high probability, where the optimal alternative is defined as the one…
This paper studies optimal control under the average-reward/cost criterion for deterministic linear systems. We derive the value function and optimal policy, and propose an approximate solution using Model Predictive Control to enable…
In this contribution, we introduce an efficient method for solving the optimal control problem for an unconstrained nonlinear switched system with an arbitrary cost function. We assume that the sequence of the switching modes are given but…
This paper studies the optimal output-feedback control of a linear time-invariant system where a stochastic event-based scheduler triggers the communication between the sensor and the controller. The primary goal of the use of this type of…
Linear dynamical systems that obey stochastic differential equations are canonical models. While optimal control of known systems has a rich literature, the problem is technically hard under model uncertainty and there are hardly any…
In this paper, we develop a provably correct optimal control strategy for a finite deterministic transition system. By assuming that penalties with known probabilities of occurrence and dynamics can be sensed locally at the states of the…
In this paper, we focus on formal synthesis of control policies for finite Markov decision processes with non-negative real-valued costs. We develop an algorithm to automatically generate a policy that guarantees the satisfaction of a…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
Sequence optimization, where the items in a list are ordered to maximize some reward has many applications such as web advertisement placement, search, and control libraries in robotics. Previous work in sequence optimization produces a…
This paper presents a novel two-level control architecture for a fully autonomous vehicle in a deterministic environment, which can handle traffic rules as specifications and low-level vehicle control with real-time performance. At the top…
We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order the investor is subject to execution risk. We study the…
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…
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…