Finding Bertram’s optimal trading strategy for a pair of cointegrated assets following the Ornstein–Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem maximization expected profit per unit time. This model is generalized to form where riskiness profit, measured by its per-time-unit volatility, controlled (e.g. in case existence limits on strateg...

Abreu and Brunnermeier (2003) study stock market bubbles and crashes in a dynamic model with a continuum of rational small traders. We introduce a large trader into their model and apply it to currency attacks. In an attack against a fixed exchange rate regime with a gradually overvaluing currency, traders lack common knowledge about the time when the overvaluation starts. Meanwhile, they need ...

Those who already faced the Trend following concept know that effective strategies of following the trend suggest dynamic stop loss level movement without profit limitation. The position is kept until the trend is changed and the order is done. With a proper choice of the market entry point the trader switches a position into the breakeven mode and thus relieves the psychological pressure. With...

We discuss the theoretical machinery involved in predicting financial market movements using an artificial market model which has been trained on real financial data. This approach to market prediction in particular, forecasting financial time-series by training a third-party or ‘black box’ game on the financial data itself – was discussed by Johnson et al. in [10] and [13] and was based on som...

This Paper has used a multisectoral input-output model of Iranian economy to examine the ability of different sectors of economy to create jobs per unit of output as well as capital. The results reveal that there is no conflict in a growth strategy that simultaneously attempts to improve efficiency i.e. reallocating production to sectors with low DRCs, equity and job creation. Although sectoral...

Background There are several indications of human female gamete cryostorage including sub-fertile and fertile patients. But our focus will be in women at risk of losing their reproductive function caused by oncologycal treatments or premature ovarian failure that could benefit greatly from this practice. Fertile women may take advantage of this technology to electively delay childbearing. The o...

We show that in a variant of the minority game problem, the agents can reach a state of maximum social efficiency, where the fluctuation between the two choices is minimum, by following a simple stochastic strategy. By imagining a social scenario where the agents can only guess about the number of excess people in the majority, we show that as long as the guessed value is sufficiently close to ...

Directional overcurrent relays (DOCRs) are widely used to protect power systems. For optimal coordination of DOCRs, several techniques have been proposed to solve this problem. A common way of optimal coordination of DOCRs is using evolutionary algorithms such as genetic algorithm (GA). In this paper, a novel strategy for DOCRs coordination is proposed. In the proposed strategy, a new objective...

This paper studies a dynamic model of a nancial market with a strategic trader. In each period the strategic trader receives a privately observed endowment in the stock. He trades with competitive market makers to share risk. Noise traders are present in the market. After receiving a stock endowment, the strategic trader is shown to reduce his risk exposure either by selling at a decreasing rat...