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Correlation-diversified portfolios can be constructed by finding the maximum independent sets (MISs) in market graphs with edges corresponding to correlations between two stocks. The computational complexity to find the MIS increases…
Fully pairing all elements of a set while attempting to maximize the total benefit is a combinatorically difficult problem. Such pairing problems naturally appear in various situations in science, technology, economics, and other fields. In…
Ising Machines are emerging hardware architectures that efficiently solve NP-Hard combinatorial optimization problems. Generally, combinatorial problems are transformed into quadratic unconstrained binary optimization (QUBO) form, but this…
Understanding the relationships between objectives in a multiobjective optimisation problem is important for developing tailored and efficient solving techniques. In particular, when tackling combinatorial optimisation problems with many…
We propose improved methods to identify stock groups using the correlation matrix of stock price changes. By filtering out the marketwide effect and the random noise, we construct the correlation matrix of stock groups in which nontrivial…
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
Combinatorial auctions are formulated as frustrated lattice gases on sparse random graphs, allowing the determination of the optimal revenue by methods of statistical physics. Transitions between computationally easy and hard regimes are…
Matching is a method of the design of experiments. If we had an even number of patients and wanted to form pairs of patients such that their ages, for example, in each pair be as close as possible, we would use nonbipartite matching. Not…
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classical approach, the hidden state is…
The aim of this paper is the analysis and selection of stock trading systems that combine different models with data of different nature, such as financial and microeconomic information. Specifically, based on previous work by the authors…
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…
This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring…
Iterative combinatorial auctions (CAs) are often used in multi-billion dollar domains like spectrum auctions, and speed of convergence is one of the crucial factors behind the choice of a specific design for practical applications. To…
Finding the ground state of Ising spin glasses is notoriously difficult due to disorder and frustration. Often, this challenge is framed as a combinatorial optimization problem, for which a common strategy employs simulated annealing, a…
Peer-to-peer (P2P) trading is seen as a viable solution to handle the growing number of distributed energy resources in distribution networks. However, when dealing with large-scale consumers, there are several challenges that must be…
We present an average case analysis of a variant of dual-pivot quicksort. We show that the used algorithmic partitioning strategy is optimal, i.e., it minimizes the expected number of key comparisons. For the analysis, we calculate the…
We introduce an algorithm for combinatorial search on quantum computers that is capable of significantly concentrating amplitude into solutions for some NP search problems, on average. This is done by exploiting the same aspects of problem…
We introduce an algorithm for combinatorial search on quantum computers that is capable of significantly concentrating amplitude into solutions for some NP search problems, on average. This is done by exploiting the same aspects of problem…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
We introduce fast algorithms for correlation clustering with respect to the Min Max objective that provide constant factor approximations on complete graphs. Our algorithms are the first purely combinatorial approximation algorithms for…