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Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital ma...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...
Persistent link: https://www.econbiz.de/10011259405
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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
Muteba Mwamba, John; Suteni, Mwambi - Volkswirtschaftliche Fakultät, … - 2010
This paper constructs an alternative investment strategy to portfolio optimization model in the framework of the Mean–Variance portfolio selection model. To differentiate it from the ubiquitously applied Mean–Variance model, which is constructed on an assumption that returns are normally...
Persistent link: https://www.econbiz.de/10011259339
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Adaptive interactive profit expectations using small world networks and runtime weighted model averaging
Bell, William Paul - Volkswirtschaftliche Fakultät, … - 2008
The aim of this paper is to simulate profit expectations as an emergent property using an agent based model. The paper builds upon adaptive expectations, interactive expectations and small world networks, combining them into a single adaptive interactive profit expectations model (AIE)....
Persistent link: https://www.econbiz.de/10011260058
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Repulsive Particle Swarm Method on Some Difficult Test Problems of Global Optimization
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2006
algorithm (GA)and/or Simulated annealing (SA) method. We append the (Fortran) computer program that we have developed and used … better than the Genetic algorithm. It is needed that we find out some criteria to classify the problems that suit (or does …
Persistent link: https://www.econbiz.de/10005836253
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The Barter Method: A New Heuristic for Global Optimization and its Comparison with the Particle Swarm and the Differential Evolution Methods
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2006
The objective of this paper is to introduce a new population-based (stochastic) heuristic to search the global optimum of a (continuous) multi-modal function and to assess its performance (on a fairly large number of benchmark functions) vis-à-vis that of two other well-established and very...
Persistent link: https://www.econbiz.de/10005616773
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Design of Supply Chain Networks with Supply Disruptions using Genetic Algorithm
Taha, Raghda; Abdallah, Khaled; Sadek, Yomma; … - Volkswirtschaftliche Fakultät, … - 2014
The design of supply chain networks subject to disruptions is tackled. A genetic algorithm with the objective of …
Persistent link: https://www.econbiz.de/10011107294
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Supplier selection by F-compromise method: a case study of cement industry of NE India
Mukherjee, Krishnendu; Sarkar, Bijon; Bhattacharyya, … - Volkswirtschaftliche Fakultät, … - 2012
to select suppliers from a predefined supplier base. Multi-objective genetic algorithm (MOGA) is used further to allocate …
Persistent link: https://www.econbiz.de/10011108219
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Assessing Impact of Large-Scale Distributed Residential HVAC Control Optimization on Electricity Grid Operation and Renewable Energy Integration
Corbin, Charles - Volkswirtschaftliche Fakultät, … - 2014
Demand management is an important component of the emerging Smart Grid, and a potential solution to the supply-demand imbalance occurring increasingly as intermittent renewable electricity is added to the generation mix. Model predictive control (MPC) has shown great promise for controlling HVAC...
Persistent link: https://www.econbiz.de/10011113373
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Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm
Sinha, Pankaj; Chandwani, Abhishek; Sinha, Tanmay - Volkswirtschaftliche Fakultät, … - 2013
The objective of this paper is to develop an algorithm to create an Optimum Portfolio from a large pool of stocks … listed in a single market index SPX 500 Index: USA (for example) using Genetic Algorithm. The algorithm selects stocks on the … tested by running its performance over a six month holding period. It is found that genetic algorithm is successful in …
Persistent link: https://www.econbiz.de/10011113591
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign …-Kalman-Bucy filtering algorithm in the Stratanovich – Kalman – Bucy filter and the particle filter to accurately estimate the time series …
Persistent link: https://www.econbiz.de/10011156962