A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices

In this paper we propose an artificial market where multiple risky assets are exchanged. Agents are constrained by the availability of resources and trade to adjust their portfolio according to an exogenously given target portfolio. We model the trading mechanism as a continuous auction order-driven market. Agents are heterogeneous in terms of desired target portfolio allocations, but they are homogeneous in terms of trading strategies. We investigate the role played by the trading mechanism in affecting the dynamics of prices, trading volume and volatility. We show that the institutional setting of a double auction market is sufficient to generate a non-normal distribution of price changes…

Analysis of a database to predict the result of allergy testing in vivo in patients with chronic nasal symptoms.

Background This article uses the logistic regression model for diagnostic decision making in patients with chronic nasal symptoms. We studied the ability of the logistic regression model, obtained by the evaluation of a database, to detect patients with positive allergy skin-prick test (SPT) and patients with negative SPT. The model developed was validated using the data set obtained from another medical institution. Methods The analysis was performed using a database obtained from a questionnaire administered to the patients with nasal symptoms containing personal data, clinical data, and results of allergy testing (SPT). All variables found to be significantly different between patients w…

A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper we develop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecision as well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressed to integrate stochastic and possibilistic programming.

Threshold rule and scaling behavior in a multi-agent supply chain

In this paper an agent-based model of self organized criticality is developed in a network economy characterized by lead time and a threshold behavior of firms. Instead of considering the aggregate production of the economy as a whole, we focus on both the propagation and amplification effects of a demand shock in the sectorial productions of a multi-agent supply chain. We study a static network structure representing a relation of firms in a lower-upper stream in an industrial organization. In our model, the individual (R, nQ) policies play an important role in generating a propagation effect across the different layers of the economy, and the propagation turns into the large fluctuations …

Learning and the Price Dynamics of a Double-Auction Financial Market with Portfolio Traders

In this paper we study the dynamics of price adjustments in an artificial market where portfolio traders with bounded rationality and limited resources interact through a continuous, electronic open book. The present work extends the model developed in [? ] introducing endogenous target individual portfolio holdings. We model the agents’ order-flow investment decision as an optimal choice given individual characteristics and the available information. We depart from the standard asset pricing framework in two ways. First, we assume that investors have imperfect information about the returns distribution. In particular, we assume that agents hold arbitrary priors about securities’ returns, w…

A class of label-correcting methods for the K shortest paths problem

In this paper we deal with the problem of finding the first K shortest paths from a single origin node to all other nodes of a directed graph. In particular, we define the necessary and sufficient conditions for a set of distance label vectors, on the basis of which we propose a class of methods which can be viewed as an extension of the generic label-correcting method for solving the classical single-origin all-destinations shortest path problem. The data structure used is characterized by a set of K lists of candidate nodes, and the proposed methods differ in the strategy used to select the node to be extracted at each iteration. The computational results show that: 1. some label-correct…

Comparison between statistical and fuzzy approaches for improving diagnostic decision making in patients with chronic nasal symptoms

This paper compares a fuzzy model, expressed in rule-form, with a well known statistical approach (i.e. logistic regression model) for diagnostic decision making in patients with chronic nasal symptoms. The analyses were carried out using a database obtained from a questionnaire administered to 1359 patients with nasal symptoms containing personal data, clinical data and skin prick test (SPT) results. Both the fuzzy model and the logistic regression model developed were validated using a data set obtained from another medical institution. The accuracy of the two models in identifying patients with positive or negative SPT was similar. This study is a preliminary step to the creation of a so…

Hotel chain performance: a gravity-DEA approach

Performance in business management can be measured in terms of competitiveness and efficiency. Generally speaking, competitiveness is a comparative concept of the ability of a firm, sub-sector or country to sell and supply goods and/or services in a given market, as measured by its market share. Particularly in competitive markets, efficiency plays a key role in determining this ability but it is not, by itself, sufficient. Indeed, while competitiveness has more to do with “pursuing the correct strategy” towards the conservation and/or increase of the market share, operational efficiency is mainly a measure of how well the firm, sub-sector or country under study processes inputs to achieve …

A High-Frequency Data Analysis of a Double Auction Artificial Financial Market

Assessment of Sustainable Well-being in the Italian Regions: An Activity Analysis Model

Applying the theoretical framework of productive analysis, the paper proposes an evaluation of regional sustainable well-being (SWB) in terms of efficiency. By means of an Activity Analysis Model (AA) (Fare et al., 1996), desirable and undesirable outcomes of development have been simultaneously used to evaluate the sustainable well-being of Italian regions. Data on equal and sustainable well-being provided by the Italian Statistical Office for the year 2010 has been used. The analysis reveals that only four regions achieve sustainable well-being, balancing socio-economic and environmental outcomes and resources. Finally, the study points out the advantages of AA for policy purposes by comp…

The Dynamics of Quote Prices in an Artificial Financial Market with Learning Effects

In this paper we study the evolution of bid and ask prices in an electronic financial market populated by portfolio traders who optimally choose their allocation strategy on the basis of their views about market conditions. Recently, a growing literature has investigated the consequences of learning about the returns process1. There has been an increasing interest in analyzing what are the implications of relaxing the assumption that agents hold correct expectations. In particular, it has been asked the fundamental question of understanding if typical asset-pricing anomalies (like returns predictability, and excess volatility) can be generated by a learning process about the underlying econ…

An integrated fuzzy-stochastic model for revenue management: The hospitality industry case

Revenue management aims at improving the performance of an organization by selling the right product/service to the right customer at the right time. This task is very dependent on uncontrollable external factors. In the hospitality industry, rooms of the hotel represent perishable assets and fixed capacities at the same time. Therefore, in the case of a stochastic process for customers calling in reservations prior to a particular booking date, a common problem for hotels is to devise a policy for maximizing the total expected profit conditional on the set of bookings. We propose a fuzzy model for the hotel revenue management under an uncertain and vague environment. Fuzziness of objectiv…

An optimized system dynamics approach for a hotel chain management

The proposed model consists of an integrated system dynamics-data envelopment analysis approach to value, in a dynamic framework, the effects over time of the policies implemented according to the relative efficiency analysis. Rooms’ price and competing facilities (the hedonics) are the decision variables to move in order to push the hotels towards a higher relative efficiency at the end of the observation periods. In fact, in competitive markets as tourism, hotels compete for money offering differentiated quality. Moreover, according to the microeconomic theory, a producer of differentiated goods is not a price taker but a price maker. Therefore, we assume that the decision maker of the ho…

High-Frequency Data Analysis of a Double Auction Artificial Financial Market

Asset Return Dynamics under Alternative Learning Schemes

In this paper we design an artificial financial market where endogenous volatility is created assigning to the agents diverse prior beliefs about the joint distribution of returns, and, over time, making agents rationally update their beliefs using common public information. We analyze the asset price dynamics generated under two learning environments: one where agents assume that the joint distribution of returns is IID, and another where agents believe in the existence of regimes in the joint distribution of asset returns. We show that the regime switching learning structure can generate all the most common stylized facts of financial markets: fat tails and long-range dependence in volati…

Job shop scheduling by a parallel approach

The paper deals with a parallel approach to job shop scheduling by a branch and bound methodology using the lower bound proposed by Ashour and Hiremath. The optimal solution is achieved by an iterative-reductive strategy. At each iteration the algorithm investigates the conflict intervals and it selects a subset of the possible solutions. The makespan value, achieved by the parallel processes, gives the upper limit for the admissible lower bound of the intermediate solutions. Furthermore the best makespan reached by each iteration is reused as a filter to reduce the complexity of the next iteration. The computation is speeded up by a parallel implementation, giving the possibility of distri…

A parallel simulated annealing approach to the K shortest loopless paths problem

The k shortest loopless paths problem is a significant combinatorial problem which arises in many contexts. When the size of the networks is very large the exact algorithms fail to find the best solution in a reasonable time. The aim of this paper is to suggest parallel efficient algorithms to obtain a good approximation of the solution to the k shortest loopless paths problem between two arbitrary nodes, when the network size is large. The heuristic used is known in literature as Simulated Annealing. Preliminary tests have been conducted for evaluating the validity of the proposed algorithms. The quality of the obtained results represents a significant base for further experimentations.

Defining and measuring the development of a country over time

This paper introduces the concept of harmonic growth as an extended acceptation of the notion of development, and discusses its measurement via the Harmonic Growth Index (HGI). The growth is seen as harmonic when the behaviour of a benchmark time series, which here is a measure of wealth, such as per capita GDP, is followed by a similar pattern in socio-economic series. Unlike most widely used indicators in the literature, which take into account the measurement of development over a single time, HGI measures the degree to which a social indicator’s time series pattern matches with the GDP’s. The index is a function, ranging in [0, 1], of the coefficients of the uniform B-splines fitted to …

The combined distribution/assignment problem in transportation network planning: a parallel approach on hypercube architecture

The joint distribution/assignment problem plays a central role in urban transport network planning. In this problem, according to the mathematical model proposed by S. P. Evans, the trips are iteratively calculated and assigned to the network in such a way that the resulting traffic flows pattern satisfies the selfish equilibrium condition. Unfortunately the number of variables and constraints increase hardly with the greatness of the networks causing long computational time for the equilibrium solution. In this paper an nCUBE 2 parallel computing architecture is employed to solve the combined problem and to asses the potential of MIMD machines to handle large scale transportation network p…

A stochastic soft constraints fuzzy model for a portfolio selection problem

A Simulation Analysis of the Microstructure of an Order Driven Financial Market with n Securities and Portfolio Choices