相关论文: Unwinding Stochastic Order Flow: When to Warehouse…

This paper addresses the challenges faced in large-volume trading, where executing substantial orders can result in significant market impact and slippage. To mitigate these effects, this study proposes a volatility-volume-based order…

Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…

Industrial refrigeration systems have substantial energy needs, but optimizing their operation remains challenging due to the tension between minimizing energy costs and meeting strict cooling requirements. Load shifting--strategic…

We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…

Booking control problems are sequential decision-making problems that occur in the domain of revenue management. More precisely, freight booking control focuses on the problem of deciding to accept or reject bookings: given a limited…

We study a single-server scheduling problem for the objective of minimizing the expected cumulative holding cost incurred by jobs, where parameters defining stochastic job holding costs are unknown to the scheduler. We consider a general…

It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…

The paper studies a large-scale order fulfillment problem for a leading e-commerce company in the United States. The challenge involves selecting fulfillment centers and shipping carriers with observational data only to efficiently process…

We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for a defined market model. This market structure allows an…

We present a reproducible research framework for market microstructure combining a deterministic C++ limit order book (LOB) simulator with stochastic order flow generated by multivariate marked Hawkes processes. The paper derives full…

We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian motion with a positive drift. Assuming the holding and…

In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…

We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism. This algorithmic approach recommends an ideal size and number of trades for each asset during the periodic rebalancing…

The entropy regularization is inspired by information entropy from machine learning and the ideas of exploration and exploitation in reinforcement learning, which appears in the control problem to design an approximating algorithm for the…

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are…

This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of…

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…

Production planning must account for uncertainty in a production system, arising from fluctuating demand forecasts. Therefore, this article focuses on the integration of updated customer demand into the rolling horizon planning cycle. We…

We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. We allow for general…

We consider the problem of scheduling appointments for a finite customer population to a service facility with customer no-shows, to minimize the sum of customer waiting time and server overtime costs. Since appointments need to be…