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

The increasing amount of controllable generation and consumption in distribution grids poses a severe challenge in keeping voltage values within admissible ranges. Existing approaches have considered different optimal power flow…

We study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponential. Although simplistic, the model…

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…

This study addresses the difficulties associated with inventory management of products with stochastic demand. The objective is to find the optimal combination of order quantity and reorder point that maximizes profit while considering…

We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…

In this paper, we discuss distributed optimization over directed graphs, where doubly-stochastic weights cannot be constructed. Most of the existing algorithms overcome this issue by applying push-sum consensus, which utilizes…

In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting process with a stochastic mean-reversion level. The model…

Stochastic clearing theory has wide spread applications in the context of supply chain and service operations management. Historical application domains include bulk service queues, inventory control, and transportation planning (e.g.,…

The problem of stochastic deadline scheduling is considered. A constrained Markov decision process model is introduced in which jobs arrive randomly at a service center with stochastic job sizes, rewards, and completion deadlines. The…

Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetrical and tail risks in financial returns. In this paper we…

This paper analyzes a service system modeled as a single-server queue, in which the service provider aims to dynamically maximize the expected revenue per unit of time. This is achieved by constructing a stochastic gradient descent…

E-grocery retailing enables ordering products online to be delivered at a future time slot chosen by the customer. This emerging field of business provides retailers with large and comprehensive new data sets, yet creates several challenges…

We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in…

Causal consistency is an attractive consistency model for replicated data stores. It is provably the strongest model that tolerates partitions, it avoids the long latencies associated with strong consistency, and, especially when using…

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…

In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must be nonnegative, we prove that a…

This paper introduces a trade ordering rule that aims to reduce intra-block price volatility in Automated Market Maker (AMM) powered decentralized exchanges. The ordering rule introduced here, Clever Look-ahead Volatility Reduction (CLVR),…

We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…

We provide a novel computer-assisted technique for systematically analyzing first-order methods for optimization. In contrast with previous works, the approach is particularly suited for handling sublinear convergence rates and stochastic…

We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…