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math.OC2026
Convex Modeling of Price Cross-Impact over Time
Vincent Yinjun-Wang, Madeleine Udell
Transaction costs can make or break a trading strategy, particularly in relative-value trading of commodity and macro markets, where edges are a few basis points. Price impact is a…
cs.AI2026
FLARE: Verifying MILP Reformulations with LLM-Based Theorem Proving
Henry Robbins, Connor Lawless, Madeleine Udell +1
Mixed-Integer Linear Programming (MILP) is a fundamental tool for combinatorial optimization with extensive real-world applications. A central challenge is designing computationall…
math.OC2026
Battery Bidding under Price Uncertainty in Wholesale Electricity Markets
Vincent Yinjun-Wang, Madeleine Udell
Grid-scale batteries increasingly influence outcomes in wholesale electricity markets, but their observed bid patterns remain difficult to interpret. In particular, bids that appea…