Arbitrage-Free Combinatorial Market Making via Integer Programming.
Christian KroerMiroslav DudíkSébastien LahaieSivaraman BalakrishnanPublished in: EC (2016)
Keyphrases
- integer programming
- stock price
- linear programming
- np hard
- cutting plane
- financial markets
- set covering
- constraint programming
- production planning
- cutting plane algorithm
- ai planning
- column generation
- network flow
- stock market
- lagrangian relaxation
- set covering problem
- facility location
- valid inequalities
- portfolio management
- dantzig wolfe decomposition
- inference problems
- financial data
- transportation problem
- crew scheduling
- non stationary
- special case
- set partitioning
- search algorithm