Related papers: Stock management (Gest\~ao de estoques)
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
What is the performance cost of using simple, decoupled control policies in inherently coupled systems? Motivated by industrial refrigeration systems, where centralized compressors exhibit economies of scale yet traditional control employs…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
This work addresses a key challenge in inventory management by developing a stochastic model that describes the dynamic distribution of inventory stock over time without assuming a specific demand distribution. Our model provides a flexible…
In today competitive business environment, efficient logistics are essential, especially in industries where timely delivery matters. This research aims to improve warehouse picking cycle time through simulation-based analysis, using a…
Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a…
We give new approximation algorithms for the submodular joint replenishment problem and the inventory routing problem, using an iterative rounding approach. In both problems, we are given a set of $N$ items and a discrete time horizon of…
We present a new microscopic stochastic model for an ensemble of interacting investors that buy and sell stocks in discrete time steps via limit orders based on individual forecasts about the price of the stock. These orders determine the…
This paper addresses the single-item single-stocking location non-stationary stochastic lot-sizing problem under a reorder point -- order quantity control strategy. The reorder points and order quantities are chosen at the beginning of the…
The aim of this paper is to describe a new an integrated methodology for project control under uncertainty. This proposal is based on Earned Value Methodology and risk analysis and presents several refinements to previous methodologies.…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
In this paper, we consider joint drift rate control and impulse control for a stochastic inventory system under long-run average cost criterion. Assuming the inventory level must be nonnegative, we prove that a…
Hydrogen can be produced from water, using electricity. The hydrogen can subsequently be kept in inventory in large quantities, unlike the electricity itself. This enables solar and wind energy generation to occur asynchronously from its…
Supply chain management has been concentrated on productive ways to manage flows through a sophisticated vendor, manufacturer, and consumer networks for decades. Recently, energy and material rates have been greatly consumed to improve the…
High-frequency quantitative investment is a crucial aspect of stock investment. Notably, order flow data plays a critical role as it provides the most detailed level of information among high-frequency trading data, including comprehensive…
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…
Assemble-to-order approaches deal with randomness in demand for end items by producing components under uncertainty, but assembling them only after demand is observed. Such planning problems can be tackled by stochastic programming, but…
The paper discusses capital allocation using the Euler formula and focuses on the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new results connected to this capital allocation is known. Two examples illustrate that…
In the context of evolving supply chain management, the significance of efficient inventory management has grown substantially for businesses. However, conventional manual and experience-based approaches often struggle to meet the…
E-grocery retailing enables ordering products online to be delivered at a future time slot chosen by the customer. This emerging field of business provides retailers with large and comprehensive new data sets, yet creates several challenges…