6 citations · 12 across the 9 of their papers we have counts for
9 papers
On the Optimality of Tracking Fisher Information in Adaptive Testing with Stochastic Binary Responses
Sanghwa Kim, Dohyun Ahn, Seungki Min
We study the problem of estimating a continuous ability parameter from sequential binary responses by actively asking questions with varying difficulties, a setting that arises nat…
Dynamic Pricing of an Expiring Item under Strategic Buyers with Stochastic Arrival
Suyeon Choi, Changhyun Kwon, Seungki Min
We study the optimal dynamic pricing of an expiring ticket or voucher, sold by a time-sensitive seller to strategic buyers who arrive stochastically with private values. The expiri…
Improving Thompson Sampling via Information Relaxation for Budgeted Multi-armed Bandits
Woojin Jeong, Seungki Min
We consider a Bayesian budgeted multi-armed bandit problem, in which each arm consumes a different amount of resources when selected and there is a budget constraint on the total a…
An Information-Theoretic Analysis of Nonstationary Bandit Learning
Seungki Min, Daniel Russo
In nonstationary bandit learning problems, the decision-maker must continually gather information and adapt their action selection as the latent state of the environment evolves. I…
Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
Seungki Min, Ciamac C. Moallemi, Costis Maglaras
We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. The…
Policy Gradient Optimization of Thompson Sampling Policies
Seungki Min, Ciamac C. Moallemi, Daniel J. Russo
We study the use of policy gradient algorithms to optimize over a class of generalized Thompson sampling policies. Our central insight is to view the posterior parameter sampled by…
The Competition for Partners in Matching Markets
Yash Kanoria, Seungki Min, Pengyu Qian
We study the competition for partners in two-sided matching markets with heterogeneous agent preferences, with a focus on how the equilibrium outcomes depend on the connectivity in…
Thompson Sampling with Information Relaxation Penalties
Seungki Min, Costis Maglaras, Ciamac C. Moallemi
We consider a finite-horizon multi-armed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With this framework, we defi…
Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution
Seungki Min, Costis Maglaras, Ciamac C. Moallemi
The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., dev…