The Top Trading Cycles mechanism emerges as a desirable solution in various market design applications. Yet recommendations are made without any rigorous foundation for the role priorities play in assignment. We explain that role by recursive individual rationality with respect to a priority structure. We show that a mechanism is Pareto efficient, strategy-proof and recursively individual ratio...

CONTRIBUTORS Irina Leonova, Financial Economist, Division of Market Oversight, Commodity Futures Trading Commission David Taylor, Special Counsel, Division of Market Oversight, Commodity Futures Trading Commission Alan Deaton, Chief of Data Strategy Section, Division of Insurance and Research, Federal Deposit Insurance Corporation Mark Montoya, Senior Business Analyst, Federal Deposit Insurance...

Market traders trade gold, and Bitcoin is aim to maximize their return. This paper utilizes the grey prediction model explore optimal trading strategy optimize fund allocation based on dynamic programming. In addition, by comparing with other traditional strategies, we discover that can more accurately estimate future prices, enabling trader gain steadily growing returns at a low-risk level.

This paper presents an algorithm for trading resources in Grids. Resource description includes main technical attributes of a resource, such as processing power, memory capacity, etc., as well as a price. Trading is performed in a marketplace where providers’ resources are matched with consumers’ demand by means of auction mechanisms. The matching algorithm follows a strategy where a consumer’s...

The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by ...

A lgorithmic trading of securities has become a staple of modern approaches to financial investment. In this project, I attempt to obtain an effective strategy for trading a collection of 27 financial futures based solely on their past trading data. All of the strategies that I consider are based on predictions of the future price and volatility of the various securities under consideration, an...