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作者：Dolinsky, Yan; Soner, H. Mete
作者单位：Hebrew University of Jerusalem; Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Finance Institute (SFI)
摘要：Convex duality for two different super-replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic hedging with the underlying stock, are allowed. The first one of the problems considered is the model-independent hedging that requires the super-replication to hold for every continuous path. In the second one the market model is given through a probability meas...
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作者：Gamzu, Iftah; Segev, Danny
作者单位：Yahoo! Inc; Yahoo! Inc Israel; University of Haifa
摘要：An instance of the tollbooth problem consists of an undirected network and a collection of single-minded customers, each of which is interested in purchasing a fixed path subject to an individual budget constraint. The objective is to assign a per-unit price to each edge in a way that maximizes the collective revenue obtained from all customers. The revenue generated by any customer is equal to the overall price of the edges in her desired path, when this cost falls within her budget; otherwis...
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作者：Yam, S. C. P.; Zhou, W.
作者单位：Chinese University of Hong Kong; JP Morgan Chase & Company
摘要：The present paper studies the optimal placement problem of a child order. In practice, short-term momentum indicators inferred from order book data play important roles in order placement decisions. In the present work, we first propose to explicitly model the short-term momentum indicator and then formulate the order placement problem as an optimal multiple stopping problem. In contrast to the common formulation in the existing literature, we allow zero refracting period between consecutive s...
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作者：Feigenbaum, Itai; Sethuraman, Jay; Ye, Chun
作者单位：City University of New York (CUNY) System; Lehman College (CUNY); City University of New York (CUNY) System; Columbia University; Amazon.com
摘要：This paper is concerned with the problem of locating a facility on a line in the presence of strategic agents, also located on that line. Each agent incurs a cost equal to her distance to the facility whereas the planner wishes to minimize the L-p norm of the vector of agent costs. The location of each agent is only privately known, and the goal is to design a strategyproof mechanism that approximates the optimal cost well. It is shown that the median mechanism provides a 2(1-1/p) approximatio...
