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cs.AI2025
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…
q-fin.MF2025
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…
math.OC2025
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…