Related papers: Stock management (Gest\~ao de estoques)
We present two machine learning frameworks for forecasting aggregated curves and optimizing storage in the EPEX SPOT day-ahead market. First, a fast parametric model forecasts hourly demand and supply curves in a low-dimensional and…
In this paper, we present a simple microeconomic model with linear continuous-time dynamics that describes a production-inventory system with debt repayment. This model is formulated in terms of optimal control and its exact solutions are…
The food production industry, especially the meat production sector, faces many challenges that have even escalated due to the recent outbreak of the energy crisis in the European Union. Therefore, efficient use of input materials is an…
This paper considers manufacturing planning and scheduling of manufacturing orders whose value decreases over time. The value decrease is modelled with a so-called value curve. Two genetic-algorithm-based methods for multi-objective…
Data used in stock assessment models result from combinations of biological, ecological, fishery, and sampling processes. Since different types of errors propagate through these processes it can be difficult to identify a particular family…
Bills of materials (BOMs) are quickly becoming an effective tool for managing supply chain risk. As more BOMs enter circulation, the ability to compare them will be crucial to understanding how products differ and in managing BOMs from…
To determine the effectiveness of metaheuristic Differential Evolution optimization strategy for inventory management (IM) in the context of stochastic demand, this empirical study undertakes a thorough investigation. The primary objective…
We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting features concern (i) the statistics of…
Monitoring a process over time is so important in manufacturing processes to reduce the waste of money and time. Some charts as Shewhart, CUSUM, and EWMA are common to monitor a process with a single intended attribute which is used in…
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired…
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…
Many planning and decision activities in logistics and supply chain management are based on forecasts of multiple time dependent factors. Therefore, the quality of planning depends on the quality of the forecasts. We compare various…
As the number of publicly traded companies as well as the amount of their financial data grows rapidly, it is highly desired to have tracking, analysis, and eventually stock selections automated. There have been few works focusing on…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
An approach to analyse the properties of a particle system is to compare it with different processes to understand when one of them is larger than other ones. The main technique for that is coupling, which may not be easy to construct. We…
Nowadays, when crashes and crises are rather frequent events, an effective monitoring system for the international financial market is needed. Modern nonlinear methods, such as Recurrence Quantification Analysis (RQA), demonstrate the…
A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…
The concept of Stock Options is used to address the scarcity of resources, not adequately addressed by the previous tools of our Prediction Mechanism. Using a Predictive Reservation Scheme, network and disk resources are being monitored…
We propose a framework for studying optimal market making policies in a limit order book (LOB). The bid-ask spread of the LOB is modelled by a Markov chain with finite values, multiple of the tick size, and subordinated by the Poisson…