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Full-Text Articles in Physical Sciences and Mathematics
Discrete Geometry And Covering Problems, Alexander Hsu
Discrete Geometry And Covering Problems, Alexander Hsu
CMC Senior Theses
This thesis explores several problems in discrete geometry, focusing on covering problems. We first go over some well known results, explaining Keith Ball's solution to the symmetric Tarski plank problem, as well as results of Alon and F\"uredi on covering all but vertices of a cube with hyperplanes. The former extensively utilizes techniques from matrix analysis, and the latter applies polynomial method. We state and explore the related problem, asking for the number of parallel hyperplanes required to cover a given discrete set of points in $\mathbb{Z}^{d}$ whose entries are bounded, and prove that there exist sets which are ``difficult'' …
Optimal Execution In Cryptocurrency Markets, Ethan Kurz
Optimal Execution In Cryptocurrency Markets, Ethan Kurz
CMC Senior Theses
The purpose of this paper is to study the Almgren and Chriss model on the optimal execution of large block orders both on the NYSE and in cryptocurrency exchanges. Their model minimizes execution costs, which include linear temporary and permanent price impacts. We focus on how the stock market microstructure differs from a cryptocurrency exchange microstructure and what that means for how the model functions. Once the model and microstructures are explained, we examine how the Almgren-Chriss model functions with stocks from the NYSE, looking at specifically selling a large number of shares. We then investigate how a large "wholesale" …