相关论文: Market Making in Spot Precious Metals

Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…

The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…

In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…

In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in the foreign market is allowed, and therefore, the foreign…

Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…

Non-Fungible Token (NFT) markets are one of the fastest growing digital markets today, with the sales during the third quarter of 2021 exceeding $10 billions! Nevertheless, these emerging markets - similar to traditional emerging…

We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarneau-Vincent et al., we extend spike prediction from a single…

This paper examines the empirical failure of uncovered interest parity (UIP) and proposes a structural explanation based on a mean-reverting risk premium. We define a realized premium as the deviation between observed exchange rate returns…

This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…

A prevalent market structure in the Internet economy consists of buyers and sellers connected by a platform (such as Amazon or eBay) that acts as an intermediary and keeps a share of the revenue of each transaction. While the optimal…

Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In…

We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…

We propose a mean field game (MFG) framework to model the evolution of renewable energy production in competitive electricity markets. Producers interact through the spot price while optimising their profits under production, installation,…

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

The Ornstein-Uhlenbeck (OU) process, a mean-reverting stochastic process, has been widely applied as a time series model in various domains. This paper describes the design and implementation of a model-based synthetic time series model…

One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets.…

We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and…

We consider a sequential decision-making setting where, at every round $t$, a market maker posts a bid price $B_t$ and an ask price $A_t$ to an incoming trader (the taker) with a private valuation for one unit of some asset. If the trader's…

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…

An automated market maker where the price can cross the zero bound into the negative price domain with applications in electricity, energy, and derivatives markets is presented. A unique feature involves the ability to swap both negatively…