相关论文: Optimal Allocation Strategies for the Dark Pool Pr…

Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…

We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…

We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for…

We introduce and analyze a natural algorithm for multi-venue exploration from censored data, which is motivated by the Dark Pool Problem of modern quantitative finance. We prove that our algorithm converges in polynomial time to a…

The allocation problem for multivariate stratified random sampling as a problem of stochastic matrix integer mathematical programming is considered. With these aims the asymptotic normality of sample covariance matrices for each strata is…

We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attract transactions on its venues. We first solve the stochastic…

We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share…

In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…

In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit…

Room allocation is a challenging task in detention centers since lots of related people need to be held separately with limited rooms. It is extremely difficult and risky to allocate rooms manually, especially for organized crime groups…

This work initiates research into the problem of determining an optimal investment strategy for investors with different attitudes towards the trade-offs of risk and profit. The probability distribution of the return values of the stocks…

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its…

The stable allocation problem is one of the broadest extensions of the well-known stable marriage problem. In an allocation problem, edges of a bipartite graph have capacities and vertices have quotas to fill. Here we investigate the case…

In this paper, we consider a network allocation problem motivated by peer-to-peer cloud storage models. The setting is that of a network of units (e.g. computers) that collaborate and offer each other space for the back up of the data of…

This work considers the allocation problem for multivariate stratified random sampling as a problem of integer non-linear stochastic multiobjective mathematical programming. With this goal in mind the asymptotic distribution of the vector…

This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices…

We study the problem of storing a data object in a set of data nodes that fail independently with given probabilities. Our problem is a natural generalization of a homogenous storage allocation problem where all the nodes had the same…

In this paper, we consider the resource allocation problem in a network with a large number of connections which are used by a huge number of users. The resource allocation problem under discussion is a maximization problem with linear…

For a team of heterogeneous robots executing multiple tasks, we propose a novel algorithm to optimally allocate tasks to robots while accounting for their different capabilities. Motivated by the need that robot teams have in many…

In this paper we consider distributed allocation problems with memory constraint limits. Firstly, we propose a tractable relaxation to the problem of optimal symmetric allocations from [1]. The approximated problem is based on the Q-error…