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While the analytical solution for the marginal distribution of a stochastic chemical reaction network has been extensively studied, its joint distribution, i.e. the solution of a high-dimensional chemical master equation, has received much…
A Higher Order Markovian (HOM) model to capture the dynamics of commodity prices is proposed as an alternative to a Markovian model. In particular, the order of the former model, is taken to be the delay, in the response of the industry, to…
We propose the point process model as the Poissonian-like stochastic sequence with slowly diffusing mean rate and adjust the parameters of the model to the empirical data of trading activity for 26 stocks traded on NYSE. The proposed scaled…
Stochastic Dominance (SD) theory provides a rigorous framework for selecting superior assets tailored to the asset allocation needs of investors with varying risk preferences (i.e., risk-averse, risk-seeking, and risk-neutral). However,…
High-frequency quantitative trading strategies have long been of significant interest in futures market. While advanced statistical arbitrage and deep learning enhance high-frequency data processing, they diminish opportunities for…
Clinical trial simulation (CTS) is critical in new drug development, providing insight into safety and efficacy while guiding trial design. Achieving realistic outcomes in CTS requires an accurately estimated joint distribution of the…
The potential of machine learning to automate and control nonlinear, complex systems is well established. These same techniques have always presented potential for use in the investment arena, specifically for the managing of equity…
Freight consolidation has significant potential to reduce transportation costs and mitigate congestion and pollution. An effective load consolidation plan relies on carefully chosen consolidation points to ensure alignment with existing…
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…
In this paper, we propose a method to identify identical commodities. In e-commerce scenarios, commodities are usually described by both images and text. By definition, identical commodities are those that have identical key attributes and…
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Quantification of the option's value is of practical importance…
We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…
In [1], a single-period co-optimization model of energy and reserve is considered to better illustrate the properties of the co-optimization model and the associated market mechanism. To make the discussion more general, in this paper, the…
Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for…
AI and data driven solutions have been applied to different fields and achieved outperforming and promising results. In this research work we apply k-Nearest Neighbours, eXtreme Gradient Boosting and Random Forest classifiers for detecting…
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, which is the price difference between futures and spot, plays a…
In clinical trials studying paired parts of a subject with binary outcomes, it is expected to collect measurements bilaterally. However, there are cases where subjects contribute measurements for only one part. By utilizing combined data,…
The primary objective of this work is to develop coarse-graining schemes for stochastic many-body microscopic models and quantify their effectiveness in terms of a priori and a posteriori error analysis. In this paper we focus on stochastic…
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive…
We propose a Genetic Programming architecture for the generation of foreign exchange trading strategies. The system's principal features are the evolution of free-form strategies which do not rely on any prior models and the utilization of…