2022
[50]
Automated market making and loss-versus-rebalancing. Working paper. Initial version: August 2022.
[pdf]
. [pdf]
[49]
Hybrid scheduling with mixed-integer programming at Columbia Business School. Working paper. Initial version: August 2022.
[pdf]
. [pdf]
[48]
Synthetically controlled bandits. Working paper. Initial version: February 2022. Revised: December 2022.
[pdf]
. [pdf]
[47]
Risk-sensitive optimal execution via a conditional value-at-risk objective. Working paper. Initial version: January 2022.
[pdf]
. [pdf]