This work is about optimal order execution, where a large order is split into several small
orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency …

Abstract Design of complex self-assembly systems requires intelligent solutions that can be
manufactured effectively and efficiently. Self-organization is the spontaneous formation of …

We define the micro price of multiple cointegrated assets. This yields a notion of fair prices,
as a function of the observable state of multiple order books. We compute the microprices of …

In this thesis, we present two applications of reinforcement learning models in the financial
domain. The first study focuses on the dynamic hedging of financial derivatives, where a …

The study focuses on the development and implementation of an automated system for
scalping strategies in cryptocurrency markets. Scalping, a high-frequency trading strategy …

A system and method for managing latency of messages in an exchange system to address
technical advantages in certain market participant hardware are disclosed. In one …