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Effectiveness of Different Trading Strategies for Price-takers
P. 133-142.
We introduce simulation models of stock exchange to explore which traders are successful and how their strategies influence to their wealth and probability of bankruptcy. The results of our experiments show that there is a critical level of agent’s experience (or luck) such that agents with this or higher level almost sure will survive on the market on the long run. This critical level is just slightly higher 1/2 and such small value explains why so many people try to trade on the stock exchange. But if trader uses margin trading, the critical level is much higher and shows the risk of excessive losses.
Publication based on the results of:
Egorova L. G., / Высшая школа экономики. Series FE "Financial Economics". 2014. No. WP BRP 29/FE/2014.
Simulation models of the stock exchange are developed to explore the dependence between a trader’s ability to predict future price movements and her wealth and probability of bankruptcy, to analyze the consequences of margin trading with different leverage rates and to compare different investment strategies for small traders. We show that in the absence of ...
Added: April 21, 2014
Zamyatina E., Karimov D., Mittrakov A., International Journal "Information Models and Analyses" 2015 Vol. 4 No. 2 P. 178-191
Abstract: This paper discusses the problems of the agent-based simulation system design. It is well known that agent models extend the capabilities of simulation for solving some problems that can’t be solved by the methods of system dynamics and discrete event simulation. Particular attention in the design and the implementation of agent-based simulation authors pay ...
Added: March 16, 2016
Zamyatina E., Каримов Д. Ф., Митраков А. А., Информатизация и связь 2014 № 2 С. 89-97
This paper discusses the problems of the agent-based simulation system design. It is wellknown that agent models extend the capabilities of simulation for solving some problems that can’t be solved by the methods of system dynamics and discrete event simulation. Particular attention in the design and the implementation of agent-based simulation authors pay to the ...
Added: February 20, 2015
Vinarskii E., Zakharov V., Automatic Control and Computer Sciences 2021 Vol. 55 No. 7 P. 751-762
Sequential reactive systems include hardware devices and software programs which operate
in continuous interaction with the external environment, from which they receive streams of input signals
(data, commands) and in response to them form streams of output signals. Systems of this type
include controllers, network switches, program interpreters, system drivers. The behavior of some
reactive systems is determined not ...
Added: January 17, 2022
Mikov A., Zamyatina E., Germanova D., , in : Supplementary Proceedings of the 5th International Conference on Analysis of Images, Social Networks and Texts (AIST-SUP 2016), Yekaterinburg, Russia, April 7-9, 2016. Vol. 1710.: Aachen : CEUR Workshop Proceedings, 2016. P. 224-236.
This paper discusses the design and development of software tools for simulation of social networks. It is well known that social networks have become the object of attention of sociologists, political scientists, market-ers, etc. The paper identifies two trends in the investigation of social networks: static and dynamic. Static approach involves the study of geometric ...
Added: January 26, 2017
Brodetskiy G., Dybskaya V., Gusev D. et al., Логистика и управление цепями поставок 2016 Т. 75 № 4 С. 15-29
Research of new efficient optimization decisions related to the distribution tasks of goods in the warehouse network is particularly relevant today. The purpose of this article – to help practitioners working in this field in the development of new approaches and methods for finding the best solutions in relation to problems of this type that ...
Added: August 27, 2016
Rozhkov M., Ivanov D., Blackhurst J. et al., Omega 2022 Vol. 110 Article 102635
This article investigates the impacts of the COVID-19 pandemic and their proactive mediation by adaptive operational decisions in different network design structures in anticipation of and during the pandemic. In generalized terms, we contribute to the understanding of the effect of preparedness and recovery decisions in a pandemic setting on supply chain operations and performance. ...
Added: March 14, 2022
Ingacheva A., Kokhan V., Osipov D., , in : Proceedings of the 32nd European Conference on Modelling and Simulation (ECMS 2018),Wilhelmshaven, Germany 22 – 25 May 2018. : NY : Curran Associates, Inc., 2018. P. 183-189.
In this paper we consider the task of inner objects mapping for the building with a bunch of moving around it autonomous agents which use narrow beam of radio waves using WiFi frequency (2.4 GHz). Linear model of pixel-wise radio waves attenuation is considered. SIRT algorithm with TV and Tikhonov regularizations is used for the ...
Added: April 6, 2019
Bondarenko G., Fisher M. R., Kristya V. I., Bulletin of the American Physical Society 2010 Vol. 55 No. 7 P. 50-50
In the paper simulation of electron, ion and metastable excited atom motion and interactions in a low-current discharge in argon-mercury mixture is fulfilled. Mixture ionization coefficient and the electric field strength have been calculated. ...
Added: May 13, 2013
Regional Security: Analysis of the Emergency Management Effectiveness Based on the Scenario Approach
Шульц В. Л., Кульба В. В., Заикин О. А. et al., Advances in Systems Science and Applications 2017 Vol. 17 No. 1 P. 9-24
The paper analyses the effectiveness of the scenario analysis and modeling methods for solving the planning and operational control problems of in the processes of prevention and elimination of the causes and effects of man-made disasters, industrial catastrophes and emergencies. The scenario approach belongs to a class of object-oriented methods used to represent information about ...
Added: February 22, 2019
Isaev D., Информационные технологии 2016 Т. 22 № 8 С. 589-595
The paper focuses on simulation of complicated projects, associated with developing of socio-economic, organizational and technical systems. Few types of complicated projects are determined: projects with few possible outcomes, repeatable projects, and projects with few possible ways of implementation. Combined cases with certain combination of the factors of complexity may also be considered. The purpose ...
Added: September 16, 2016
Замятина Е.Б., Мерзляков Д. В., Семеновых А. А., В кн. : Седьмая всероссийская научено-практическая конференция «Имитационное моделирование. Теория и практика" (ИММОД-2015). : [б.и.], 2015. С. 86-95.
Рассматриваются программные средства, которые позволяют описать имитационную модель компьютерной сети на некотором визуальном языке, исследовать ее, применяя тот или иной математический аппарат (теория графов, теория сетей Петри и т.д.), и выполнить трансформацию модели или ее фрагмента на другой визуальный язык с целью применения другого математического аппарата. ...
Added: February 29, 2016
Petrova E., Sino-US English Teaching 2012
This article covers the positive features of a simulation and provides the outline of the OPEC (The Organization of the Petroleum Exporting Countries) Conference Simulation that was held with the 3rd-year students of the Department of World Economy and International Relations of National Research University “Higher School of Economics”. The article describes the three stages ...
Added: July 3, 2012
Smetanin S., Ometov A., Kannengießer N. et al., , in : 2020 IEEE 22nd Conference on Business Informatics (CBI). : IEEE, 2020. Ch. 18. P. 162-171.
Interest in applications based on distributed ledger technology (DLT) is on the rise, with corporations worldwide shifting from simply exploring DLT’s potential to creating productive business cases. However, despite the existence of numerous DLT applications, developers are still lacking proper tools and instruments for evaluating system behavior (e.g., performance) of their applications on different distributed ...
Added: October 8, 2020
Shalumov A. S., Pershin E. O., M. : PrintLETO.ru, 2013
The monograph presents results by professor Dr. A. Shalumov’s Research School of Modeling, Information Technology and Automated Systems (Russia). The program, ASONIKA, developed by the school is reviewed here regarding reliability and quality of devices for simulation of electronics and chips during harmonic and random vibration, single and multiple impacts, linear acceleration and acoustic noise, ...
Added: October 13, 2013
Zamyatina E., Mikov A., Lanin V., , in : Proceedings of the 10th International Joint Conference on Knowledge Discovery, Knowledge Engineering and Knowledge Management (IC3K 2018) - Volume 2: KEOD. Vol. 2.: SCITEPRESS – Science and Technology Publications, Lda., 2018. Ch. 24. P. 223-230.
There are different Modelling and Simulation (M&S) life cycle’s steps described in the literature. One way or another some of these steps are similar: creation of conceptual model, verification and validation of simulation model, statistical data collection and processing. Authors of represented paper suggest to automate some steps and propose to use ontological approach. The ...
Added: January 21, 2019
Zhadnov V. V., Известия высших учебных заведений. Электроника 2018 Т. 23 № 4 С. 353-361
The standard procedures used in the engineering practice for the dependability prediction of electronic equipment (analytical methods) have a number of significant limitations. Turning to numerical methods, allowing the removal of these limitations, causes the necessity to create the failure model of electronic components for the dependability prediction of electronic components. The aim of the ...
Added: September 1, 2018
Dworzanski L. W., Lomazova I. A., , in : Program Semantics, Specification and Verification: Theory and Applications. The conference materials. : Nizhny Novgorod : Nizhny Novgorod State University, 2012. P. 55-63.
Nested Petri nets (NP-nets) are Petri nets with net tokens - an extension of high-level Petri nets for modeling active objects, mobility and dynamics in distributed systems. In this paper we present an algorithm for translating two-level NP-nets into behaviorally equivalent Colored Petri nets with the view of applying CPN methods and tools for nested ...
Added: September 21, 2012
Batsyn M. V., Batsyna E. K., Business Informatics 2012 Vol. 4 No. 22 P. 69-75
In this paper we consider the problem of finding an optimal excess of loss reinsurance which maximizes the reliability (probability of no ruin) of the insurance company. We apply two approximate approaches to calculate the distribution of total payments. The first approach is based on normal approximation of the payments distribution. Using this approximation we ...
Added: February 21, 2013
Zakharov V., Коннов И. В., Journal of symbolic computation 2010 Vol. 45 No. 11 P. 1144-1162
A uniform verification problem for parameterized systems is to determine whether a temporal property is satisfied for every instance of the system which is composed of an arbitrary number of homogeneous processes. To cope with this problem we combine an induction-based technique for invariant generation and conventional model checking of finite state systems. At the ...
Added: October 12, 2015
Kosov M., Вестник Удмуртского университета. Серия 2: Экономика и право 2019 Т. 29 № 5 С. 579-588
The article is devoted to the analysis of the cryptocurrency market functioning and the existing problems of its development. Today, the world needs electronic transactions and the elimination of the state monopoly on the issuance of funds. The cryptocurrency market is the evolution that can change the current situation. The factors affecting the demand for ...
Added: September 2, 2021
Nickolay Kascheev, Kascheev D., , in : Models, Algorithms, and Technologies for Network Analysis / From the 4th International Conference on Network Analysis. : NY : Springer, 2016. P. 33-38.
This paper provides the analysis of continuous extensions of Boolean
functions for test generation using continuous optimization. It represents the results
of the developed software for a number of ISCAS schemes ...
Added: February 3, 2017
Yermolina M., Zakhodiakin G., Логистика и управление цепями поставок 2019 № 6 С. 39-49
The article considers the situation when a company needs to distribute limited amount of stock to the regional warehouses in its own two-echelon distribution network. The network consists of a single distribution center and several regional facilities which are serving the company’s customers. It is supposed that every warehouse calculates its requirements for the replenishment ...
Added: February 19, 2020
Shutov A. A., Laryushina J., Radzinskaia O. et al., , in : Information Systems Development and Applications. : Sopot : Faculty of Management University of Gdańsk, 2015. P. 91-104.
The paper presents an ontological modelling tool that may serve as a visual editor for the DEMO methodology and simulator of business-processes. The main goal of the study is to develop an instrumental tool that would enable business analysts to describe business processes at ontological level and analyse their performance. In the paper all stages ...
Added: February 14, 2016