As an emerging financial market, the trading value of carbon emission trading market has definitely increased. In recent years, the carbon emission allowances have already become a way of investment. They are bought and sold not only by carbon emitters but also by investors. In this paper, we...

We propose a new approach to modeling informed order flows. Our approach generalizes arbitrage pricing to incorporate both information and demand effects, giving rise to a new quadratic factor model of price impacts. Our approach offers two fresh insights into the economics of informed trading....

The two roles of a dealer in over-the-counter markets, immediacy provision and matchmaking, create a conflict of interest--the dealer prioritizes inventory turnover for immediacy provision, rather than making matches between customer flows. Compared to a counterfactual scenario without this...

This study investigates the machine learning tools that are employed to learn data-to-decision mappings. A data-to-decision mapping, once learnt, adopts relevant operational information as input and effectively outputs a reliable decision variable. The operational data used by the machine...

We consider a single-product dynamic pricing problem under a specific non-stationary setting, where the underlying demand process grows over time in expectation and also possibly in the level of random fluctuation. The decision maker sequentially sets price in each time period and learns the...

We study the problem of simulating a class of nonstationary spatio-temporal Poisson processes. The Poisson intensity function is non-stationary and piecewise linear in both the time dimension and the spatial location dimensions. We propose an exact simulation algorithm based on the inversion...