4 papers
Causal Inference in Energy Demand Prediction
Chutian Ma, Grigorii Pomazkin, Giacinto Paolo Saggese +1
Energy demand prediction is critical for grid operators, industrial energy consumers, and service providers. Energy demand is influenced by multiple factors, including weather cond…
The effect of latency on optimal order execution policy
Chutian Ma, Giacinto Paolo Saggese, Paul Smith
Market participants regularly send bid and ask quotes to exchange-operated limit order books. This creates an optimization challenge where their potential profit is determined by t…
On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy
Chutian Ma, Paul Smith
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate r…
Optimal two-parameter portfolio management strategy with transaction costs
Chutian Ma, Paul Smith
We consider a simplified model for optimizing a single-asset portfolio in the presence of transaction costs given a signal with a certain autocorrelation and cross-correlation stru…