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An Algorithm for Testing the Efficient Market Hypothesis

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A ride time-oriented scheduling algorithm for dial-a-ride problems

Nikolaos Geroliminis, Claudia Bongiovanni, Mor Kaspi

This paper offers a new algorithm to efficiently optimize scheduling decisions for dial-a-ride problems (DARPs), including problem variants considering electric and autonomous vehicles (e-ADARPs). The scheduling heuristic, based on linear programming theor ...

Pergamon-Elsevier Science Ltd2024

In Process Systems Engineering, computationally-demanding models are frequent and plentiful. Handling such complexity in an optimization framework in a fast and reliable way is essential, not only for generating meaningful solutions but also for providing ...

Oxford2023

Genetic Algorithms for the Discovery of Homogeneous Catalysts

Rubén Laplaza Solanas, Anne-Clémence Corminboeuf, Puck Elisabeth van Gerwen, Alexandre Alain Schöpfer, Simone Gallarati

In this account, we discuss the use of genetic algorithms in the inverse design process of homogeneous catalysts for chemical transformations. We describe the main components of evolutionary experiments, specifically the nature of the fitness function to o ...

2023

Policy-based Exploration of Equilibrium Representations (PEER): A topology grammar for generative conceptual structural design

Ioannis Mirtsopoulos

Design exploration is a creative process that consists of the incremental generation of design candidates. Supported by digital means or not, the process handles the ill-structured nature of design and allows creativity to flourish through diversity of des ...

EPFL2022

Design exploration consists in browsing the design space and through the incremental generation of diverse design candidates increases creativity and diversity. When integrated into the early stages of the structural design process, the task is expected to ...

CRC Press2022

Trading mechanisms in over-the-counter markets

Sebastian Vogel

In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...

EPFL2020

Estimation of discrete choice models with hybrid stochastic adaptive batch size algorithms

Michel Bierlaire, Timothy Michael Hillel, Virginie Janine Camille Lurkin, Gael Lederrey

The emergence of Big Data has enabled new research perspectives in the discrete choice community. While the techniques to estimate Machine Learning models on a massive amount of data are well established, these have not yet been fully explored for the esti ...

2020

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

WILEY2020

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2020