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Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Market making limit order book pro-rata microstructure inventory risk marked point process stochastic control
2012/6/4
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the c...
Optimal Stopping under Probability Distortion
optimal stopping probability distortion Choquet expectation probability distribution/qunatile function Skorokhod embedding problem S-shaped and reverse S-shaped function
2011/3/31
We formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. ...
Designing Optimal Taxes with a Microeconometric Model of Household Labour Supply
Labour supply optimal taxation random utility model microsimulation.
2014/6/25
The purpose of this paper is to present an exercise where we identify optimal income tax rules under the constraint of fixed tax revenue. To this end, we estimate a microeconomic model with 78 paramet...