Arbitrage-Free Combinatorial Market Making via Integer Programming.
Christian KroerMiroslav DudíkSébastien LahaieSivaraman BalakrishnanPublished in: CoRR (2016)
Keyphrases
- integer programming
- stock price
- np hard
- constraint programming
- set covering problem
- cutting plane
- column generation
- financial markets
- linear programming
- network flow
- facility location
- production planning
- stock market
- integer program
- portfolio management
- inference problems
- transportation problem
- ai planning
- dantzig wolfe decomposition
- cutting plane algorithm
- crew scheduling
- historical data
- financial data
- valid inequalities
- vehicle routing problem with time windows
- integer programming formulations
- non stationary
- state space