Zobrazeno 1 - 10
of 42
pro vyhledávání: '"Ciamac C. Moallemi"'
Publikováno v:
Stochastic Systems. 12:319-339
When an inventory manager attempts to construct probabilistic models of demand based on past data, demand samples are almost never available: only sales data can be used. This demand censoring introduces an exploration-exploitation trade-off as the o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ce7f2910cb64b24ee85a2bafd4096000
https://doi.org/10.1287/stsy.2022.0093
https://doi.org/10.1287/stsy.2022.0093
Publikováno v:
Stochastic Systems.
This paper presents a novel, non-parametric approximate dynamic programming (ADP) algorithm that enjoys dimension-independent approximation and sample complexity guarantees. We obtain this algorithm by “kernelizing” a recent mathematical program
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0fd570386b2e6fed921e4940a138812
https://doi.org/10.1287/stsy.2023.0107
https://doi.org/10.1287/stsy.2023.0107
Publikováno v:
Proceedings of the 2022 ACM CCS Workshop on Decentralized Finance and Security.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e9b7b59a89592d85c8b8636a185052d8
https://doi.org/10.1145/3560832.3563441
https://doi.org/10.1145/3560832.3563441
Publikováno v:
Operations Research. 69:1324-1348
In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books operating under a “price-time” priority rule and, in turn, can be modeled as multi-class FIFO qu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8682c0d67e1bb95bf2c32bd72f4095f8
https://doi.org/10.1287/opre.2020.1989
https://doi.org/10.1287/opre.2020.1989
Autor:
Ciamac C. Moallemi, Utkarsh Patange
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c66e44de67e1cafb67f93a9c8801c18
https://doi.org/10.2139/ssrn.4252808
https://doi.org/10.2139/ssrn.4252808
Publikováno v:
AEA Papers and Proceedings
The paper's introduction offers a high-level review of Bitcoin's features, especially its governance by protocol. The paper proceeds to summarize Bitcoin's analysis as a payment system. It pays particular attention to a comparison between Bitcoin and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0aa2ba8d03d7be3d36d168d0f70914c7
Publikováno v:
Journal of Financial Markets. 42:1-28
We examine short-horizon return predictability using a novel data set of institutional trades on large-cap U.S. stocks. We estimate investor-specific short-term trading skill and find that there is pronounced heterogeneity in predicting short-term re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a8e51a365b92db4a04115161c597a577
https://doi.org/10.1016/j.finmar.2018.12.002
https://doi.org/10.1016/j.finmar.2018.12.002
Publikováno v:
SSRN Electronic Journal.
Deciding between the use of market orders and limit orders is an important question in practical optimal trading problems. A key ingredient in making this decision is understanding the uncertainty of the execution of a limit order, that is, the fill
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::812d3357f148039d52fb38fafaa24194
https://doi.org/10.2139/ssrn.3897438
https://doi.org/10.2139/ssrn.3897438
Publikováno v:
MIT web domain
We consider the problem of A-B testing when the impact of the treatment is marred by a large number of covariates. Randomization can be highly inefficient in such settings, and thus we consider the problem of optimally allocating test subjects to eit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da9ab83014a58e81f1d1ebcb84c5bd74
https://hdl.handle.net/1721.1/134546
https://hdl.handle.net/1721.1/134546
Publikováno v:
Operations Research. 64:1143-1158
Regulatory changes are transforming the multitrillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through central counterparties (CCPs). The stability of the new framework depends on the CCPs’ resilie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e7b33202c7199ece6fe078dc0d563d0e
https://doi.org/10.1287/opre.2015.1420
https://doi.org/10.1287/opre.2015.1420