9 citations · 26 across the 9 of their papers we have counts for
4 papers · 1 filter
Approximately optimal trade execution strategies under fast mean-reversion
David Evangelista, Yuri Thamsten
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Es…
On Pareto Equilibria for Some Bi-Objective Optimal Control Problems
Pitágoras P. de Carvalho, Enrique Fernández-Cara, Juan Límaco +2
We investigate Pareto equilibria for bi-objective optimal control problems. Our framework comprises the situation in which an agent acts with a distributed control in a portion of…
Local null controllability of a class of non-Newtonian incompressible viscous fluids
Pitágoras de Carvalho, Juan Límaco, Denilson Menezes +1
We investigate the null controllability property of systems that mathematically describe the dynamics of some non-Newtonian incompressible viscous flows. The principal model we stu…
Optimal Trading in Automated Market Makers with Deep Learning
Sebastian Jaimungal, Yuri F. Saporito, Max O. Souza +1
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interact…