Related papers: Stock management (Gest\~ao de estoques)
This paper studies the ubiquitous problem of liquidating large quantities of highly correlated stocks, a task frequently encountered by institutional investors and proprietary trading firms. Traditional methods in this setting suffer from…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
This paper shows a comprehensive analysis of three algorithms (Time Series, Random Forest (RF) and Deep Reinforcement Learning) into three inventory models (the Lost Sales, Dual-Sourcing and Multi-Echelon Inventory Model). These…
Many applications require the collection of data on different variables or measurements over many system performance metrics. We term those broadly as measures or variables. Often data collection along each measure incurs a cost, thus it is…
In business process landscapes, a common challenge is to provide the necessary computational resources to enact the single process steps. One well-known approach to solve this issue in a cost-efficient way is to use the notion of…
Modeling the behavior of stock price data has always been one of the challengeous applications of Artificial Intelligence (AI) and Machine Learning (ML) due to its high complexity and dependence on various conditions. Recent studies show…
We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian motion with a positive drift. Assuming the holding and…
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…
We consider a manufacturing plant that purchases raw materials for product assembly and then sells the final products to customers. There are M types of raw materials and K types of products, and each product uses a certain subset of raw…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
While consolidation strategies form the backbone of many supply chain optimisation problems, exploitation of multi-tier material relationships through consolidation remains an understudied area, despite being a prominent feature of…
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is unobserved and must be inferred by the manager. We also…
Products with intermittent demand are characterized by a high risk of sales losses and obsolescence due to the sporadic occurrence of demand events. Generally, both point forecasting and probabilistic forecasting approaches are applied to…
We propose a formulation of the stochastic cutting stock problem as a discounted infinite-horizon Markov decision process. At each decision epoch, given current inventory of items, an agent chooses in which patterns to cut objects in stock…
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary…
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
The ability to estimate resource consumption of SQL queries is crucial for a number of tasks in a database system such as admission control, query scheduling and costing during query optimization. Recent work has explored the use of…