Sadoghi A., Vecer J., Optimal liquidation problem in illiquid markets, European Journal of Operational Research, 2021, forthcoming [link]In this research, we develop a trading strategy for the optimal liquidation problem of large-order trading, with different market microstructures, in an illiquid market. We formulate the liquidation problem as a discrete-time Markov decision process. In this market, the flow of liquidity events can be viewed as a point process with stochastic intensity. Based on this fact, we model the price impact as a linear function of a self-exciting dynamic process. Our trading algorithm is designed in such a way that when no favourite orders arrive in the Limit Order Book (LOB), the optimal solution takes offers from the lower levels of the LOB. This solution might contradict conventional optimal execution methods, which only trade with the best available limit orders; however, our findings show that the proposed strategy may reduce final inventory costs by preventing orders not being filled at earlier trading times. Furthermore, the results indicate that an optimal trading strategy is dependent on characteristics of the market microstructure. There has been a debate on whether cost-effectiveness analysis should consider the cost of consumption and leisure time activities when using the quality-adjusted life year as a measure of health outcome under a societal perspective. The purpose of this study was to investigate whether the effects of ill health on consumptive activities are spontaneously considered in a health state valuation exercise and how much this matters. The survey enrolled patients with inflammatory bowel disease in Germany (n = 104). Patients were randomized to explicit and no explicit instruction for the consideration of consumption and leisure effects in a time trade-off (TTO) exercise Explicit instruction to consider non-health-related utility in TTO exercises did not influence TTO scores. However, spontaneous consideration of non-health-related utility in patients without explicit instruction (60% of respondents) led to significantly lower TTO scores. Results suggest an inclusion of consumption costs in the numerator of the cost-effectiveness ratio, at least for those respondents who spontaneously consider non-health-related utility from treatment. Results also suggest that exercises eliciting health valuations from the general public may include a description of the impact of disease on consumptive activities.
Papers in Preparation:
Sadoghi, A., "Measuring Systemic Risk: Robust Ranking Techniques Approach"
Sadoghi, A., Kassberger,S."Financial System Stability affected by Macro-prudential Policies"
Optimization: Sadoghi, A., Burdakov, O., and Grimvall, A., "Piecewise monotonic regression algorithm for problems comprising seasonal and monotonic trends" Sadoghi, A., "Multy facility Location Allocation Problem with Fuzzy approach" Sadoghi, A., Lidesta, H., "Multi- Period, Multi-Stage Supply Chain Design: Decomposition Approach" Sadoghi.A, "The Use of Generalized Additive Models for Demand Forecasting" Sadoghi,A.,Javad,R., "Best Practices for Customer Churn Prediction with using The Lolimot model (LOcal LInear MOdel Tree) "