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作者：Min, Seungki; Maglaras, Costis; Moallemi, Ciamac C.
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Columbia University
摘要：An analysis of intraday volumes for the S&P 500 constituent stocks illustrates that (i) volume surprises (i.e., deviations from forecasted trading volumes) are correlated across stocks and that (ii) this correlation increases during the last few hours of the trading session. These observations can be attributed partly to the prevalence of portfolio trading activity that is implicit in the growth of passive (systematic) investment strategies and partly to the increased trading intensity of such...
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作者：Rostami, Borzou; Chitsaz, Masoud; Arslan, Okan; Laporte, Gilbert; Lodi, Andrea
作者单位：Wilfrid Laurier University; Universite de Montreal; Polytechnique Montreal; Universite de Montreal; Universite de Montreal; HEC Montreal; University of Bath; Cornell University
摘要：We study the single allocation hub location problem with heterogeneous economies of scale (SAHLP-h). The SAHLP-h is a generalization of the classical single allocation hub location problem (SAHLP), in which the hub-hub connection costs are piecewise linear functions of the amounts of flow. We model the problem as an integer nonlinear program, which we then reformulate as a mixed integer linear program (MILP) and as a mixed integer quadratically constrained program (MIQCP). We exploit the speci...
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作者：Yu, Lun; Iravani, Seyed; Perry, Ohad
作者单位：Northwestern University
摘要：We consider a large service system with two customer classes that are distinguished by their urgency and service requirements. In particular, one of the customer classes is considered urgent, and is therefore prioritized over the other class; further, the average service time of customers from the urgent class is significantly larger than that of the nonurgent class. We therefore refer to the urgent class as slow, and to the nonurgent class as fast. Due to the complexity and intractability of ...
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作者：des Mesnards, Nicolas Guenon; Hunter, David Scott; el Hjouji, Zakaria; Zaman, Tauhid
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Yale University
摘要：Online social networks are often subject to influence campaigns by malicious ac-tors through the use of automated accounts known as bots. We consider the problem of detecting bots in online social networks and assessing their impact on the opinions of indi-viduals. We begin by analyzing the behavior of bots in social networks and identify that they exhibit heterophily, meaning that they interact with humans more than other bots. We use this property to develop a detection algorithm based on th...
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作者：He, Xue Dong; Strub, Moris S.
作者单位：Chinese University of Hong Kong; Southern University of Science & Technology; Southern University of Science & Technology
摘要：We study the implications of various models of partially endogenous reference point formation on optimal decision making in the context of portfolio optimization under loss aversion. Specifically, we first consider the partially endogenous model of De Giorgi and Post [Management Science (2011) 57(6):1094-1110], where the reference point is determined in equilibrium but contains an exogenous component. We find that optimal trading behavior is as if the reference point were completely exogenous ...
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作者：Lin, Young-San; Nguyen, Hai; Nguyen, Thanh; Altinkemer, Kemal
作者单位：Purdue University System; Purdue University; Purdue University System; Purdue University
摘要：We consider a resource allocation problem that combines three general features: complex resource constraints, weak priority rankings over the agents, and ordinal preferences over bundles of resources. We develop a mechanism based on a new concept called competitive stable equilibrium. It has several attractive properties, commonly captures two different frameworks of one-sided and two-sided markets, and extends them to richer environments. Our framework also allows for an alternative and more ...
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作者：Etesami, S. Rasoul
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We consider the problem of online job scheduling on a single machine or multiple unrelated machines with general job and machine-dependent cost functions. In this model, each job has a processing requirement and arrives with a nonnegative nondecreasing cost function and this information is revealed to the system on arrival of that job. The goal is to dispatch the jobs to the machines in an online fashion and process them preemptively on the machines to minimize the generalized integral complet...
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作者：Chang, Yanling; Keblis, Matthew F.; Li, Ran; Iakovou, Eleftherios; White, Chelsea C.
作者单位：Texas A&M University System; Texas A&M University College Station; Texas A&M University System; Texas A&M University College Station; Texas A&M University System; Texas A&M University College Station; Texas A&M University System; Texas A&M University College Station; University System of Georgia; Georgia Institute of Technology
摘要：Advanced information technology has changed the landscape of modern warfare, as it facilitates communication among nonconventional actors such as violent extremist groups. This paper examines the value of misinformation and disinformation to a military leader who through investment in people, programs, and technology is able to affect the accuracy of information communicated between other actors. We model the problem as a partially observable stochastic game with three agents, a leader and two...
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作者：Das, Milan Kumar; Tsai, Henghsiu; Kyriakou, Ioannis; Fusai, Gianluca
作者单位：Academia Sinica - Taiwan; City St Georges, University of London; University of Eastern Piedmont Amedeo Avogadro; City St Georges, University of London
摘要：In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou [(2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3):540???554] for accurately approximating the probability distribution of a weighted stochastic sum or time integral under general one-dimensional Markov processes. Since then, Song, Cai, and Kou [(2018) Computable error bounds of Laplace inversion for pricing Asian options. INFORMS J. Comput. 30(4):625???786] a...
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作者：Faenza, Yuri; Zhang, Xuan
作者单位：Columbia University
摘要：Gale and Shapley's stable assignment problem has been extensively studied, applied, and extended. In the context of school choice, mechanisms often aim at finding an assignment that is more favorable to students. We investigate two extensions introduced in this framework-legal assignments and the efficiency adjusted deferred acceptance mechanism (EADAM) algorithm-through the lens of the classic theory of stable matchings. In any instance, the set L of legal assignments is known to contain all ...
