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作者：Jiang, Jiashuo; Ma, Will; Zhang, Jiawei
作者单位：Hong Kong University of Science & Technology; Columbia University; Columbia University; New York University
摘要：Prophet inequalities are a useful tool for designing online allocation procedures and comparing their performance to the optimal offline allocation. In the basic setting of k-unit prophet inequalities, a well-known procedure with its celebrated performance guarantee of 1-1 root k+3 has found widespread adoption in mechanism design and general online allocation problems in online advertising, healthcare scheduling, and revenue management. Despite being commonly used to derive approximately opti...
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作者：Hey, Natascha; Mastromatteo, Iacopo; Muhle-Karbe, Johannes; Webster, Kevin
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Imperial College London
摘要：We study statistical arbitrage problems accounting for the nonlinear and transient price impact of metaorders observed empirically. We show that simple explicit trading rules can be derived even for general nonparametric alpha and liquidity signals and also discuss extensions to several impact decay timescales. These results are illustrated using a proprietary data set of Capital Fund Management metaorders, which allows us to calibrate the levels, concavity, and decay parameters of the price i...
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作者：Najy, Waleed; Diabat, Ali; Elbassioni, Khaled
作者单位：New York University; New York University Abu Dhabi; New York University; New York University Tandon School of Engineering
摘要：The difficulty of analyzing and optimizing the stochastic one-warehouse multiretailer problem under the (S, T) policy motivates the need to consider approximate but high-fidelity systems that are easier to scrutinize. We consider one such model in the setting in which retailers face independent normally distributed demand with given (nonidentical) means and variances. Safety stock is computed via a type-I service-level formula that ignores allocation issues, and the cost function is computed b...
