We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining...We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs into consideration. The algorithm that we propose partitions a binomial tree into blocks. In any round of computation a block is further partitioned into regions which are assigned to distinct processors. To minimise load imbalance the assignment of nodes to processors is dynamically adjusted before each new round starts. Synchronisation is required both within a round and between two successive rounds. The parallel speedup of the algorithm is proportional to the number of processors used. The parallel algorithm was implemented in C/C++ via POSIX Threads, and was tested on a machine with 8 processors. In the pricing of an American put option, the parallel speedup against an efficient sequential implementation was 5.26 using 8 processors and 1500 time steps, achieving a parallel efficiency of 65.75%.展开更多
In a competitive environment reactive power management is an essential service provided by independent system operator taking into account the voltage security and transmission losses. The system operator adopts a tra...In a competitive environment reactive power management is an essential service provided by independent system operator taking into account the voltage security and transmission losses. The system operator adopts a transparent and non-dis-criminatory procedure to procure the reactive power supply for optimal deployment in the system. Since generators’ are the main source of reactive power generation and the cost of the reactive power should be considered for their noticeable impact on both real and reactive power marginal prices. In this paper, a method based on marginal cost theory is presented for locational marginal prices calculation for real and reactive power considering different reactive power cost models of generators’ reactive support. With the presence of FACTS controllers in the system for more flexible operation, their impact on nodal prices can not be ignored for wheeling cost determination and has also to be considered taking their cost function into account. The results have been obtained for hybrid electricity market model and results have also been computed for pool model for comparison. Mixed Integer Non-linear programming (MINLP) approach has been formulated for solving the complex problem with MATLAB and GAMS interfacing. The proposed approach has been tested on IEEE 24-bus Reliability Test System (RTS).展开更多
We seek a discussion about the most suitable feedback control structure for stock trading under the consideration of proportional transaction costs. Suitability refers to robustness and performance capability. Both ar...We seek a discussion about the most suitable feedback control structure for stock trading under the consideration of proportional transaction costs. Suitability refers to robustness and performance capability. Both are tested by considering different one-step ahead prediction qualities, including the ideal case （perfect price-ahead prediction）, correct prediction of the direction of change in daily stock prices and the worst-case （wrong price rate sign-prediction at all sampling intervals）. Feedback control structures are partitioned into two general classes： stochastic model predictive control （SMPC） and genetic. For the former class, three controllers are discussed, whereby it is distinguished between two Markowitz- and one dynamic hedging-inspired SMPC formulation. For the latter class, five trading algorithms are disucssed, whereby it is distinguished between two different moving average （MA） based strategies, two trading range （TR） based strategies, and one strategy based on historical optimal （HistOpt） trajectories. This paper also gives a preliminary discussion about how modified dynamic hedging-inspired SMPC formulations may serve as alternatives to Markowitz portfolio optimization. The combinations of all of the eight controllers with five different one-step ahead prediction methods are backtested for daily trading of the 30 components of the German stock market index DAX for the time period between November 27, 2015 and November 25, 2016.展开更多
In the perspective of new institutional economics,we regard farmers' cooperatives as a "contractual set" integrating a series of long-term contractual relations,and transform the selection problem of org...In the perspective of new institutional economics,we regard farmers' cooperatives as a "contractual set" integrating a series of long-term contractual relations,and transform the selection problem of organization forms into selection problem of contractual model within organization.By the theoretical framework of Transaction Cost Economics,we analyze the formation mechanism and determinant factors of contractual model of different farmers' cooperatives and conduct case study on Production and Marketing Cooperative of Sweet Pomegranate in Mengzi,Yunnan.The results show that selecting contractual forms of cooperatives is the result of weighing many factors;new organization model or contractual arrangement is complementary to the former system arrangement;the selection of cooperatives model is an important factor impacting cooperation efficiency and stability of organization.One organization model with efficiency not only hinges on the transaction characteristic of organization,but also considers the compatibility with exterior transaction environment.In the process of selecting contractual model,we should conform to objective evolving law,but not be in thrall to a certain given form.展开更多
In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injec...In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injection are considered. The objective is to maximize the total value of the expected discounted dividends, and the penalized discounted both capital injections and ruin penalty during the horizon, which is described by the minimum of the time of ruin and an exponential random variable. The explicit solutions for optimal strategy and value function are obtained, when the income jumps follow a hyper-exponential distribution.Besides, some numerical examples are presented to illustrate our results.展开更多
In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both pro...In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both proportional and fixed transaction costs when issuing new equity. Our objective is to maximize the expected cumulative present value of the dividend payout minus the equity issuance until the time of bankruptcy,which is defined as the first time when the company＇s capital reserve falls below zero. The solution to the mixed impulse-singular control problem relies on two auxiliary subproblems： one is the classical dividend problem without equity issuance, and the other one assumes that the company never goes bankrupt by equity issuance.We first provide closed-form expressions of the value functions and the optimal strategies for both auxiliary subproblems. We then identify the solution to the original problem with either of the auxiliary problems. Our results show that the optimal strategy should either allow for bankruptcy or keep the company＇s reserve above zero by issuing new equity, depending on the model＇s parameters. We also present some economic interpretations and sensitivity analysis for our results by theoretical analysis and numerical examples.展开更多
In this paper, a convex programming model for portfolio select with trans- action costs was present, we proved the existence condition of optimal solution, and gave a simple example to the optimal solution.
The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a opt...The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.展开更多
文摘We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs into consideration. The algorithm that we propose partitions a binomial tree into blocks. In any round of computation a block is further partitioned into regions which are assigned to distinct processors. To minimise load imbalance the assignment of nodes to processors is dynamically adjusted before each new round starts. Synchronisation is required both within a round and between two successive rounds. The parallel speedup of the algorithm is proportional to the number of processors used. The parallel algorithm was implemented in C/C++ via POSIX Threads, and was tested on a machine with 8 processors. In the pricing of an American put option, the parallel speedup against an efficient sequential implementation was 5.26 using 8 processors and 1500 time steps, achieving a parallel efficiency of 65.75%.
文摘In a competitive environment reactive power management is an essential service provided by independent system operator taking into account the voltage security and transmission losses. The system operator adopts a transparent and non-dis-criminatory procedure to procure the reactive power supply for optimal deployment in the system. Since generators’ are the main source of reactive power generation and the cost of the reactive power should be considered for their noticeable impact on both real and reactive power marginal prices. In this paper, a method based on marginal cost theory is presented for locational marginal prices calculation for real and reactive power considering different reactive power cost models of generators’ reactive support. With the presence of FACTS controllers in the system for more flexible operation, their impact on nodal prices can not be ignored for wheeling cost determination and has also to be considered taking their cost function into account. The results have been obtained for hybrid electricity market model and results have also been computed for pool model for comparison. Mixed Integer Non-linear programming (MINLP) approach has been formulated for solving the complex problem with MATLAB and GAMS interfacing. The proposed approach has been tested on IEEE 24-bus Reliability Test System (RTS).
文摘We seek a discussion about the most suitable feedback control structure for stock trading under the consideration of proportional transaction costs. Suitability refers to robustness and performance capability. Both are tested by considering different one-step ahead prediction qualities, including the ideal case （perfect price-ahead prediction）, correct prediction of the direction of change in daily stock prices and the worst-case （wrong price rate sign-prediction at all sampling intervals）. Feedback control structures are partitioned into two general classes： stochastic model predictive control （SMPC） and genetic. For the former class, three controllers are discussed, whereby it is distinguished between two Markowitz- and one dynamic hedging-inspired SMPC formulation. For the latter class, five trading algorithms are disucssed, whereby it is distinguished between two different moving average （MA） based strategies, two trading range （TR） based strategies, and one strategy based on historical optimal （HistOpt） trajectories. This paper also gives a preliminary discussion about how modified dynamic hedging-inspired SMPC formulations may serve as alternatives to Markowitz portfolio optimization. The combinations of all of the eight controllers with five different one-step ahead prediction methods are backtested for daily trading of the 30 components of the German stock market index DAX for the time period between November 27, 2015 and November 25, 2016.
文摘In the perspective of new institutional economics,we regard farmers' cooperatives as a "contractual set" integrating a series of long-term contractual relations,and transform the selection problem of organization forms into selection problem of contractual model within organization.By the theoretical framework of Transaction Cost Economics,we analyze the formation mechanism and determinant factors of contractual model of different farmers' cooperatives and conduct case study on Production and Marketing Cooperative of Sweet Pomegranate in Mengzi,Yunnan.The results show that selecting contractual forms of cooperatives is the result of weighing many factors;new organization model or contractual arrangement is complementary to the former system arrangement;the selection of cooperatives model is an important factor impacting cooperation efficiency and stability of organization.One organization model with efficiency not only hinges on the transaction characteristic of organization,but also considers the compatibility with exterior transaction environment.In the process of selecting contractual model,we should conform to objective evolving law,but not be in thrall to a certain given form.
基金Supported by the National Natural Science Foundation of China(11231005)Promotive research fund for excellent young and middle-aged scientists of Shandong Province(BS2014SF006)the Natural Science Foundation of the Jiangsu Higher Education Institutions of China(15KJB110009)
文摘In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both fixed and proportional costs from the transactions of capital injection are considered. The objective is to maximize the total value of the expected discounted dividends, and the penalized discounted both capital injections and ruin penalty during the horizon, which is described by the minimum of the time of ruin and an exponential random variable. The explicit solutions for optimal strategy and value function are obtained, when the income jumps follow a hyper-exponential distribution.Besides, some numerical examples are presented to illustrate our results.
基金partially supported by grants of the National Natural Science Foundation of China(Nos.71231008,71201173,71301031,71471045)Natural Science Foundation of Guangdong Province of China(No.S2013010011959)the Post-Doctoral Foundation of China(Nos.2012M510195,2014T70796)
文摘In this paper, we consider the problem of optimal dividend payout and equity issuance for a company whose liquid asset is modeled by the dual of classical risk model with diffusion. We assume that there exist both proportional and fixed transaction costs when issuing new equity. Our objective is to maximize the expected cumulative present value of the dividend payout minus the equity issuance until the time of bankruptcy,which is defined as the first time when the company＇s capital reserve falls below zero. The solution to the mixed impulse-singular control problem relies on two auxiliary subproblems： one is the classical dividend problem without equity issuance, and the other one assumes that the company never goes bankrupt by equity issuance.We first provide closed-form expressions of the value functions and the optimal strategies for both auxiliary subproblems. We then identify the solution to the original problem with either of the auxiliary problems. Our results show that the optimal strategy should either allow for bankruptcy or keep the company＇s reserve above zero by issuing new equity, depending on the model＇s parameters. We also present some economic interpretations and sensitivity analysis for our results by theoretical analysis and numerical examples.
文摘In this paper, a convex programming model for portfolio select with trans- action costs was present, we proved the existence condition of optimal solution, and gave a simple example to the optimal solution.
基金Supported by the National Natural Sciences Foundation of China.
文摘The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.
