Related papers: Stock management (Gest\~ao de estoques)
In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…
This paper investigates a multi-product stochastic inventory problem in which a cash-constrained online retailer can adopt order-based loan provided by some Chinese e-commerce platforms to speed up its cash recovery for deferred revenue. We…
This article is the term paper of the course Investments. We mainly focus on modeling long-term investment decisions of a typical utility-maximizing individual, with features of Chinese stock market in perspective. We adopt an OR based…
Whether or not stocks are predictable has been a topic of concern for decades.The efficient market hypothesis (EMH) says that it is difficult for investors to make extra profits by predicting stock prices, but this may not be true,…
This paper focuses on the application of quantitative portfolio management by using integer programming and clustering techniques. Investors seek to gain the highest profits and lowest risk in capital markets. A data-oriented analysis of US…
Warehouses play a central role in industrial logistics, functioning as critical hubs for storing and organizing inventory to support efficient production. Optimizing item allocation within these facilities is essential for reducing…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
The problem of optimal allocation of monitoring resources for tracking transactions progressing through a distributed system, modeled as a queueing network, is considered. Two forms of monitoring information are considered, viz., locally…
Portfolio optimization is a task that investors use to determine the best allocations for their investments, and fund managers implement computational models to help guide their decisions. While one of the most common portfolio optimization…
In this work, we use a multiobjective approach to address the lot sizing problem integrated with the cutting stock problem in a paper industry. We analyze the trade-offs and correlations which exist among the costs and their decision…
This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
This study investigates a stochastic production planning problem with a running cost composed of quadratic production costs and inventory-dependent costs. The objective is to minimize the expected cost until production stops when inventory…
The widespread use of industrial refrigeration systems across various sectors contribute significantly to global energy consumption, highlighting substantial opportunities for energy conservation through intelligent control design. As such,…
This paper proposes a novel method for analyzing food retail processes with a focus on reducing food waste. The approach integrates object-centric process mining (OCPM) with stochastic process discovery and analysis. First, a stochastic…
Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the prediction of future price movements using limit order book data.…
Predicting a fast and accurate model for stock price forecasting is been a challenging task and this is an active area of research where it is yet to be found which is the best way to forecast the stock price. Machine learning, deep…
In this paper a demand time series is analysed to support Make-To-Stock (MTS) and Make-To-Order (MTO) production decisions. Using a purely MTS production strategy based on the given demand can lead to unnecessarily high inventory levels…
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a…
Market making plays a crucial role in providing liquidity and maintaining stability in financial markets, making it an essential component of well-functioning capital markets. Despite its importance, there is limited research on market…