Optimal Execution with Dynamic Order Flow Imbalance

We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance process, while microstructure influence is captured by instantaneous price impact. We propose a continuous-time stochastic control problem that balances between these two costs. Incorporating order flow imbalance leads to the consideration of the current market state and specifically whether one's orders lean with or against the prevailing order flow, key components often ignored by execution models in the literature. In particular, to react to changing order flow, we endogenize the trading horizon $T$. After developing the general indefinite-horizon formulation, we investigate several tractable approximations that sequentially optimize over price impact and over $T$. These approximations, especially a dynamic version based on receding horizon control, are shown to be very accurate and connect to the prevailing Almgren-Chriss framework. We also discuss features of empirical order flow and links between our model and "Optimal Execution Horizon" by Easley et al (Mathematical Finance, 2013).Comment: 31 pages, 8 figure

Exact and asymptotic solutions of the call auction problem

The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes, with random prices distributed according to a general distribution, and may be cancelled at any time. We compute the analytical expressions of the distributions of the traded volume, of the lower and upper bounds of the clearing prices, and of the price range of these possible clearing prices of the call auction. Using results from the theory of order statistics and a theorem on the limit of sequences of random variables with independent random indices, we derive the weak limits of all these distributions. In this setting, traded volume and bounds of the clearing prices are found to be asymptotically normal, while the clearing price range is asymptotically exponential. All the parameters of these distributions are explicitly derived as functions of the parameters of the incoming orders' flows.Comment: 24 pages, 7 figure

Quantum phases of atomic Fermi gases with anisotropic spin-orbit coupling

We consider a general anisotropic spin-orbit coupling (SOC) and analyze the phase diagrams of both balanced and imbalanced Fermi gases for the entire BCS--Bose-Einstein condensate (BEC) evolution. In the first part, we use the self-consistent mean-field theory at zero temperature, and show that the topological structure of the ground-state phase diagrams is quite robust against the effects of anisotropy. In the second part, we go beyond the mean-field description, and investigate the effects of Gaussian fluctuations near the critical temperature. This allows us to derive the time-dependent Ginzburg-Landau theory, from which we extract the effective mass of the Cooper pairs and their critical condensation temperature in the molecular BEC limit.Comment: 10 pages with 7 figures; to appear in PR

Parameterized Directed kk-Chinese Postman Problem and kk Arc-Disjoint Cycles Problem on Euler Digraphs

In the Directed $k$-Chinese Postman Problem ($k$-DCPP), we are given a connected weighted digraph $G$ and asked to find $k$ non-empty closed directed walks covering all arcs of $G$ such that the total weight of the walks is minimum. Gutin, Muciaccia and Yeo (Theor. Comput. Sci. 513 (2013) 124--128) asked for the parameterized complexity of $k$-DCPP when $k$ is the parameter. We prove that the $k$-DCPP is fixed-parameter tractable. We also consider a related problem of finding $k$ arc-disjoint directed cycles in an Euler digraph, parameterized by $k$. Slivkins (ESA 2003) showed that this problem is W[1]-hard for general digraphs. Generalizing another result by Slivkins, we prove that the problem is fixed-parameter tractable for Euler digraphs. The corresponding problem on vertex-disjoint cycles in Euler digraphs remains W[1]-hard even for Euler digraphs