We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study o...
Sham Kakade, Michael J. Kearns, Yishay Mansour, Lu...
This paper proposes an efficient agent for competing in Cliff Edge (CE) environments, such as sealed-bid auctions, dynamic pricing and the ultimatum game. The agent competes in on...
A key parameter in any discussions about the academic peer reviewed journal system is the number of articles annually published. Several diverging estimates of this parameter have...
Abstract-- Successful investment management relies on allocating assets so as to beat the stock market. Asset classes are affected by different market dynamics or latent trends. Th...
Ruairi de Frein, Konstantinos Drakakis, Scott Rick...
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...