Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

Flash Photography Enhancement via Intrinsic Relighting

We enhance photographs shot in dark environments by combining a picture taken with the available light and one taken with the flash. We preserve the ambiance of the original lighting and insert the sharpness from the flash image. We use the bilateral filter to decompose the images into detail and large scale. We reconstruct the image using the large scale of the available lighting and the detail of the flash. We detect and correct flash shadows. This combines the advantages of available illumination and flash photography.

The Complexity of Safety Stock Placement in General-Network Supply Chains

We consider the optimization problem of safety stock placement in a supply chain, as formulated in [1]. We prove that this problem is NP-Hard for supply chains modeled as general acyclic networks. Thus, we do not expect to find a polynomial-time algorithm for safety stock placement for a general-network supply chain.