In a distributed system, a trader can be seen as a management tool for providing a convenient and efficient environment to the end users. Trader offers a mechanism for providing access to more services directly from the user's workstation with limited resources. Services can also be arranged to appear fault tolerant and load balanced. This kind of service management imposes new requirements on ...

In an open distributed system, it is desirable to have dynamic selection of required services. Trading is a common ODP function that enables client (service consumers) to choose appropriate servers (service providers) at run time so that clients can be configured into an ODP system without prior knowledge of the server objects. An ODP-trader is an object that provides such a trading function. U...

Abreu and Brunnermeier (2003) study stock market bubbles and crashes in a dynamic model with a continuum of rational small traders. We introduce a large trader into their model and apply it to currency attacks. In an attack against a fixed exchange rate regime with a gradually overvaluing currency, traders lack common knowledge about the time when the overvaluation starts. Meanwhile, they need ...

We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy to achieve acceptability. We also prove opti...

In a finite-trader version of the Diamond-Dybvig (1983) model, the symmetric, ex-ante efficient allocation is implementable by a direct mechanism (i.e., each trader announces the type of his own ex-post preference) in which truthful revelation is the strictly dominant strategy for each trader. When the model is modified by formalizing the sequential-service constraint (cf. Wallace, 1988), the t...

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse controls and regular controls. We model and discuss the consequences of the two main features of this...

Search functionality of a CORBA trader is restricted to search for service offers and assumes clients’ knowledge of service types of those offers. It would be more flexible if the clients can also import other information, i.e. service types and interfaces, before trading for service offers, or conduct keyword search. With this requirement, making service descriptions into XML format can be hel...

A model is proposed to study optimal trading strategies in a limit order book, as typically arise when a trader has a block of shares to liquidate and she submits limit orders. The execution of limit orders is uncertain, which leads to a stochastic control problem. In contrast to previous literature, we allow the trader to choose both the quotes and the sizes of her submitted orders. Great atte...