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math.OC2024
Trading with propagators and constraints: applications to optimal execution and battery storage
Eduardo Abi Jaber, Nathan De Carvalho, Huyên Pham
Motivated by optimal execution with stochastic signals, market impact and constraints in financial markets, and optimal storage management in commodity markets, we formulate and so…
cs.LG2024
Tree-Sliced Wasserstein Distance: A Geometric Perspective
Viet-Hoang Tran, Trang Pham, Tho Tran +4
Many variants of Optimal Transport (OT) have been developed to address its heavy computation. Among them, notably, Sliced Wasserstein (SW) is widely used for application domains by…