Search results for "Control and Optimization"
showing 10 items of 448 documents
Local Green Power Supply Plants Based on Alcohol Regenerative Gas Turbines: Economic and Environmental Aspects
2020
Growing economies need green and renewable energy. Their financial development can reduce energy consumption (through energy-efficient technologies) and replace fossil fuels with renewable ones. Gas turbine engines are widely used in transport and industry. To improve their economic attractiveness and to reduce harmful emissions, including greenhouse gases, alternative fuels and waste heat recovery technologies can be used. A promising direction is the use of alcohol and thermo-chemical recuperation. The purpose of this study is to estimate the economic efficiency and carbon dioxide emissions of an alcohol-fueled regenerative gas turbine engine with thermo-chemical recuperation. The carbon …
Networked relationships in the e-MID Interbank market: A trading model with memory
2014
Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a lender, having lent many times to a borrower in the past, is more likely to lend to that borrower again in the future than to other borrowers, with which the lender has never (or has in- frequently) interacted. The core of the model depends on only one parameter representing the initial attractiven…
Do firms share the same functional form of their growth rate distribution? A statistical test
2014
We introduce a new statistical test of the hypothesis that a balanced panel of firms have the same growth rate distribution or, more generally, that they share the same functional form of growth rate distribution. We applied the test to European Union and US publicly quoted manufacturing firms data, considering functional forms belonging to the Subbotin family of distributions. While our hypotheses are rejected for the vast majority of sets at the sector level, we cannot rejected them at the subsector level, indicating that homogenous panels of firms could be described by a common functional form of growth rate distribution.
Learning competitive pricing strategies by multi-agent reinforcement learning
2003
Abstract In electronic marketplaces automated and dynamic pricing is becoming increasingly popular. Agents that perform this task can improve themselves by learning from past observations, possibly using reinforcement learning techniques. Co-learning of several adaptive agents against each other may lead to unforeseen results and increasingly dynamic behavior of the market. In this article we shed some light on price developments arising from a simple price adaptation strategy. Furthermore, we examine several adaptive pricing strategies and their learning behavior in a co-learning scenario with different levels of competition. Q-learning manages to learn best-reply strategies well, but is e…
Why is equity order flow so persistent?
2015
Abstract Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by bro…
How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders
2007
We study the relationship between liquidity and prices in an artificial financial market where portfolio traders with limited resources interact through a continuous, electronic open book. We depart from the standard asset pricing framework in two ways. First, we assume that investors have incomplete information about the distribution of returns. Second, we model the portfolio choice problem using prospect-type preferences. We model the utility function in terms of deviations of the portfolio growth rate from a specified target growth rate, and we assume that investors are more sensitive to downside movements. We show that the parameters defining the learning process affect the price dynami…
A model for designing callable bonds and its solution using tabu search
1997
Abstract We formulate the problem of designing callable bonds as a non-linear, global, optimization problem. The data of the model are obtained from simulations of holding-period returns of a given bond design, which are used to compute a certainty equivalent return, viz., some target assets. The design specifications of the callable bond are then adjusted so that the certainty equivalent return is maximized. The resulting problem is multi-modal, and a tabu search procedure, implemented on a distributed network of workstations, is used to optimize the bond design. The model is compared with the classical portfolio immunization model, and the tabu search solution technique is compared with s…
The Random-Time Binomial Model
1999
In this paper we study Binomial Models with random time steps. We explain, how calculating values for European and American Call and Put options is straightforward for the Random-Time Binomial Model. We present the conditions to ensure weak-convergence to the Black-Scholes setup and convergence of the values for European and American put options. Differently to the CRR-model the convergence behaviour is extremely smooth in our model. By using extrapolation we therefore achieve order of convergence two. This way it is an efficient tool for pricing purposes in the Black-Scholes setup, since the CRR model and its extrapolations typically achieve order one. Moreover our model allows in a straig…
The closed-form solution for a family of four-dimension nonlinear MHDS
2008
In this article we propose a method for solving a general class of four-dimension nonlinear modified Hamiltonian dynamic systems in closed form. This method may be used to study several intertemporal optimization problems sharing a common structure, which involves unbounded technological constraints as well as multiple controls and state variables. The method is developed by solving the first-order conditions associated with the planner's problem corresponding to the Lucas [1988. On the mechanics of economic development. Journal of Monetary Economics 22, 3-42] two-sector model of endogenous growth, and allows for explicitly showing the transitional dynamics of the model. Despite the externa…
Household debt and labor market fluctuations
2011
Abstract The co-movements of labor productivity with output, total hours, vacancies and unemployment have changed since the mid 1980s. This paper offers an explanation for the sharp break in the fluctuations of labor market variables based on endogenous labor supply decisions following the mortgage market deregulation. We set up a search model with efficient bargaining and financial frictions, in which impatient borrowers can take an amount of credit that cannot exceed a proportion of the expected value of their real estate holdings. When borrowers' equity requirements are low, the impact of a positive technology shock on the marginal utility of consumption is strengthened, which in turn re…