In this paper,a new price is given to the online decision maker at the beginning of each day.The trader must decide how many items to purchase according to the current price.We present three variants and an online alg...In this paper,a new price is given to the online decision maker at the beginning of each day.The trader must decide how many items to purchase according to the current price.We present three variants and an online algorithm based on cost function.The competitive ratio of the online algorithm is given for each variant,which is a performance measure of an online algorithm.More importantly,we show that the online algorithm is optimal.展开更多
由于容迟网络的间歇性连接等特点,以及节点自身缓存、能量等资源受限,DTN中的节点往往会表现出一定的自私性。自私节点的存在可能会提高网络的开销,降低消息的成功投递率。为了促进自私节点参与合作,提出了一种基于虚拟货币交易的高效...由于容迟网络的间歇性连接等特点,以及节点自身缓存、能量等资源受限,DTN中的节点往往会表现出一定的自私性。自私节点的存在可能会提高网络的开销,降低消息的成功投递率。为了促进自私节点参与合作,提出了一种基于虚拟货币交易的高效率路由算法PVCT(Efficient Routing Algorithm Based on Virtual Currency Transaction in DTN),并结合容迟网络的小世界特性,提高了路由算法的效率。该算法利用虚拟货币交易的方式,并根据节点的基本属性、位置属性、社会属性等进行定价,节点根据设计的价格函数给出对应的报价,并利用价格函数合理地分配消息副本数。在PVCT策略中,节点根据判断情况分为正常节点和自私节点,当消息的跳数小于或等于两跳时,按照概率路由的策略进行转发;反之,当消息的跳数大于两跳时,若遇到的为自私节点,则执行虚拟货币交易的路由算法。携带消息节点的出价若高于转发节点的价格,则进行交易,更新各自的收益状态;否则,进入二次价格调整阶段以协调节点双方之前的虚拟报价。仿真实验表明,PVCT路由算法在DTN中能更好地促进消息的转发,从而提升网络的整体性能。展开更多
近年来如何刻画国际金融风险对中国市场的影响,成为学术界的热门热点之一。已有文献大多集中于研究国际股票市场之间的风险溢出效应,较少关注国际股票市场对中国期权市场的风险外溢效应。本文将标普500ETF走势嵌入上证50ETF的收益率过程...近年来如何刻画国际金融风险对中国市场的影响,成为学术界的热门热点之一。已有文献大多集中于研究国际股票市场之间的风险溢出效应,较少关注国际股票市场对中国期权市场的风险外溢效应。本文将标普500ETF走势嵌入上证50ETF的收益率过程,构建IFR_BS模型(BS Model with the Impact of International Financial Risk);然后应用特征函数微扰法和Fourier-Cosine定价方法,推导出该模型下欧式期权的近似解析定价公式。数值实验和实证结果表明:(1)IFR_BS模型可以较好地刻画上证50ETF收益率分布的“尖峰”、“肥尾”和“有偏”等统计特征。(2)考虑国际金融风险溢价的IFR_BS模型下的期权定价公式,可以解决BS模型对短到期期权尤其是短到期深度OTM期权估值不足的问题。展开更多
Price prediction plays a crucial role in portfolio selection (PS). However, most price prediction strategies only make a single prediction and do not have efficient mechanisms to make a comprehensive price prediction....Price prediction plays a crucial role in portfolio selection (PS). However, most price prediction strategies only make a single prediction and do not have efficient mechanisms to make a comprehensive price prediction. Here, we propose a comprehensive price prediction (CPP) system based on inverse multiquadrics (IMQ) radial basis function. First, the novel radial basis function (RBF) system based on IMQ function rather than traditional Gaussian (GA) function is proposed and centers on multiple price prediction strategies, aiming at improving the efficiency and robustness of price prediction. Under the novel RBF system, we then create a portfolio update strategy based on kernel and trace operator. To assess the system performance, extensive experiments are performed based on 4 data sets from different real-world financial markets. Interestingly, the experimental results reveal that the novel RBF system effectively realizes the integration of different strategies and CPP system outperforms other systems in investing performance and risk control, even considering a certain degree of transaction costs. Besides, CPP can calculate quickly, making it applicable for large-scale and time-limited financial market.展开更多
The price model for a single commodity market is a very important economic model that describes the basic rules for price fluctuations in a single commodity market. In this paper, we investigated the general case for ...The price model for a single commodity market is a very important economic model that describes the basic rules for price fluctuations in a single commodity market. In this paper, we investigated the general case for the model, and proved that every positive solution is bounded and we obtained a necessary and sufficient condition for oscillation of every positive solution concerning positive state solution.展开更多
现有的出租车调度模型通常只优化实时成本而忽视当前路径规划对未来运营收益的影响,这不利于自动驾驶环境下的连续调度。为此,本文提出一个专注于长期收益的路径规划模型,并利用强化学习将预估的未来运营收益整合到实时调度问题中。模...现有的出租车调度模型通常只优化实时成本而忽视当前路径规划对未来运营收益的影响,这不利于自动驾驶环境下的连续调度。为此,本文提出一个专注于长期收益的路径规划模型,并利用强化学习将预估的未来运营收益整合到实时调度问题中。模型的具体求解方法是先利用神经网络来拟合车辆的不同时空状态的状态价值函数,再通过双神经网络和经验池的方式加快算法收敛。深圳路网仿真实验表明,所提出的调度模型能够预先精准地调度车队,服务更多乘客,获得更大的运营收益;并且模型能够利用分时电价的峰谷特征和电动汽车入网(vehicle to grid,V2G)技术进行充放电,从而降低车队的能耗成本。相较于其他调度模型,该模型在长期运营中实现乘客匹配服务率增加4%,总收益提高25%,能耗成本节省50%以及乘客等待时间降低20%。展开更多
基金Supported by the Natural Science Foundation of China(11201428,11471286,11701518)the Natural Science Foundation of Zhejiang Province(Y6110091)the Graduate Innovation Project of Zhejiang Sci-Tech University(YCX12001,YCX13005)
文摘In this paper,a new price is given to the online decision maker at the beginning of each day.The trader must decide how many items to purchase according to the current price.We present three variants and an online algorithm based on cost function.The competitive ratio of the online algorithm is given for each variant,which is a performance measure of an online algorithm.More importantly,we show that the online algorithm is optimal.
文摘由于容迟网络的间歇性连接等特点,以及节点自身缓存、能量等资源受限,DTN中的节点往往会表现出一定的自私性。自私节点的存在可能会提高网络的开销,降低消息的成功投递率。为了促进自私节点参与合作,提出了一种基于虚拟货币交易的高效率路由算法PVCT(Efficient Routing Algorithm Based on Virtual Currency Transaction in DTN),并结合容迟网络的小世界特性,提高了路由算法的效率。该算法利用虚拟货币交易的方式,并根据节点的基本属性、位置属性、社会属性等进行定价,节点根据设计的价格函数给出对应的报价,并利用价格函数合理地分配消息副本数。在PVCT策略中,节点根据判断情况分为正常节点和自私节点,当消息的跳数小于或等于两跳时,按照概率路由的策略进行转发;反之,当消息的跳数大于两跳时,若遇到的为自私节点,则执行虚拟货币交易的路由算法。携带消息节点的出价若高于转发节点的价格,则进行交易,更新各自的收益状态;否则,进入二次价格调整阶段以协调节点双方之前的虚拟报价。仿真实验表明,PVCT路由算法在DTN中能更好地促进消息的转发,从而提升网络的整体性能。
文摘近年来如何刻画国际金融风险对中国市场的影响,成为学术界的热门热点之一。已有文献大多集中于研究国际股票市场之间的风险溢出效应,较少关注国际股票市场对中国期权市场的风险外溢效应。本文将标普500ETF走势嵌入上证50ETF的收益率过程,构建IFR_BS模型(BS Model with the Impact of International Financial Risk);然后应用特征函数微扰法和Fourier-Cosine定价方法,推导出该模型下欧式期权的近似解析定价公式。数值实验和实证结果表明:(1)IFR_BS模型可以较好地刻画上证50ETF收益率分布的“尖峰”、“肥尾”和“有偏”等统计特征。(2)考虑国际金融风险溢价的IFR_BS模型下的期权定价公式,可以解决BS模型对短到期期权尤其是短到期深度OTM期权估值不足的问题。
文摘Price prediction plays a crucial role in portfolio selection (PS). However, most price prediction strategies only make a single prediction and do not have efficient mechanisms to make a comprehensive price prediction. Here, we propose a comprehensive price prediction (CPP) system based on inverse multiquadrics (IMQ) radial basis function. First, the novel radial basis function (RBF) system based on IMQ function rather than traditional Gaussian (GA) function is proposed and centers on multiple price prediction strategies, aiming at improving the efficiency and robustness of price prediction. Under the novel RBF system, we then create a portfolio update strategy based on kernel and trace operator. To assess the system performance, extensive experiments are performed based on 4 data sets from different real-world financial markets. Interestingly, the experimental results reveal that the novel RBF system effectively realizes the integration of different strategies and CPP system outperforms other systems in investing performance and risk control, even considering a certain degree of transaction costs. Besides, CPP can calculate quickly, making it applicable for large-scale and time-limited financial market.
文摘The price model for a single commodity market is a very important economic model that describes the basic rules for price fluctuations in a single commodity market. In this paper, we investigated the general case for the model, and proved that every positive solution is bounded and we obtained a necessary and sufficient condition for oscillation of every positive solution concerning positive state solution.
文摘现有的出租车调度模型通常只优化实时成本而忽视当前路径规划对未来运营收益的影响,这不利于自动驾驶环境下的连续调度。为此,本文提出一个专注于长期收益的路径规划模型,并利用强化学习将预估的未来运营收益整合到实时调度问题中。模型的具体求解方法是先利用神经网络来拟合车辆的不同时空状态的状态价值函数,再通过双神经网络和经验池的方式加快算法收敛。深圳路网仿真实验表明,所提出的调度模型能够预先精准地调度车队,服务更多乘客,获得更大的运营收益;并且模型能够利用分时电价的峰谷特征和电动汽车入网(vehicle to grid,V2G)技术进行充放电,从而降低车队的能耗成本。相较于其他调度模型,该模型在长期运营中实现乘客匹配服务率增加4%,总收益提高25%,能耗成本节省50%以及乘客等待时间降低20%。
