3 papers
cs.GT2026
Learning to Strategically Acquire Resources in Competition
Safwan Hossain, Mirah Shi, Andrew Bennett +4
We consider multiple agents competing to acquire some costly divisible resource (e.g. shares of a financial asset, compute resources, etc.) over time. Leveraging a standard model f…
cs.LG2012
Censored Exploration and the Dark Pool Problem
Kuzman Ganchev, Michael Kearns, Yuriy Nevmyvaka +1
We introduce and analyze a natural algorithm for multi-venue exploration from censored data, which is motivated by the Dark Pool Problem of modern quantitative finance. We prove th…
q-fin.TR2010
Empirical Limitations on High Frequency Trading Profitability
Michael Kearns, Alex Kulesza, Yuriy Nevmyvaka
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible p…