Similar Search Results

Solving large-scale electricity market pricing problems in polynomial time

Ahunbay, Mete Şeref; Bichler, Martin; Dobos, Teodora; … - In: European journal of operational research : EJOR 318 (2024) 2, pp. 605-617

Persistent link: https://www.econbiz.de/10015047999

On electricity market equilibria with storage : modeling, uniqueness, and a distributed ADMM

Grübel, Julia; Kleinert, Thomas; Krebs, Vanessa; … - In: Computers & operations research : and their … 114 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012146651

A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Shen, Jackie - 2020

Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

Persistent link: https://www.econbiz.de/10012837206

Extensions on Stochastic Dominance Efficiency Tests

Kallio, Markku - 2018

, DSD and ESD efficiency tests. We provide numerical demonstration using stock market data of the US …

Persistent link: https://www.econbiz.de/10012928166

Optimal Execution Horizon

Easley, David - 2015

Execution traders know that market impact greatly depends on whether their orders lean with or against the market. We … required by many sophisticated execution strategies. From a theoretical perspective, OEH explains why market participants may … rationally “dump” their orders in an increasingly illiquid market. OEH is shown to perform better than participation rate schemes …

Persistent link: https://www.econbiz.de/10013036991

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151