Dynamic asset (and liability) management under market and credit risk

We introduce a modelling paradigm which integrates credit risk and market risk in describing the random dynamical behaviour of the underlying fixed income assets. We then consider an asset and liability management (ALM) problem and develop a mul- tistage stochastic programming model which focuses on optimum risk decisions. These models exploit the dynamical multiperiod structure of credit risk and provide insight into the corrective recourse decisions whereby issues such as the timing risk of default is appropriately taken into consideration. We also present a index tracking model in which risk is measured (and optimised) by the CVaR of the tracking portfolio in relation to the index. Both in- and out-of-sample (backtesting) experiments are undertaken to validate our approach. In this way we are able to demonstrate the feasibility and flexibility of the chosen framework

Modelling and trading the Greek stock market with gene expression and genetic programing algorithms

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter

Lightweight Blockchain Framework for Location-aware Peer-to-Peer Energy Trading

Peer-to-Peer (P2P) energy trading can facilitate integration of a large number of small-scale producers and consumers into energy markets. Decentralized management of these new market participants is challenging in terms of market settlement, participant reputation and consideration of grid constraints. This paper proposes a blockchain-enabled framework for P2P energy trading among producer and consumer agents in a smart grid. A fully decentralized market settlement mechanism is designed, which does not rely on a centralized entity to settle the market and encourages producers and consumers to negotiate on energy trading with their nearby agents truthfully. To this end, the electrical distance of agents is considered in the pricing mechanism to encourage agents to trade with their neighboring agents. In addition, a reputation factor is considered for each agent, reflecting its past performance in delivering the committed energy. Before starting the negotiation, agents select their trading partners based on their preferences over the reputation and proximity of the trading partners. An Anonymous Proof of Location (A-PoL) algorithm is proposed that allows agents to prove their location without revealing their real identity. The practicality of the proposed framework is illustrated through several case studies, and its security and privacy are analyzed in detail

AsterixDB: A Scalable, Open Source BDMS

AsterixDB is a new, full-function BDMS (Big Data Management System) with a feature set that distinguishes it from other platforms in today's open source Big Data ecosystem. Its features make it well-suited to applications like web data warehousing, social data storage and analysis, and other use cases related to Big Data. AsterixDB has a flexible NoSQL style data model; a query language that supports a wide range of queries; a scalable runtime; partitioned, LSM-based data storage and indexing (including B+-tree, R-tree, and text indexes); support for external as well as natively stored data; a rich set of built-in types; support for fuzzy, spatial, and temporal types and queries; a built-in notion of data feeds for ingestion of data; and transaction support akin to that of a NoSQL store. Development of AsterixDB began in 2009 and led to a mid-2013 initial open source release. This paper is the first complete description of the resulting open source AsterixDB system. Covered herein are the system's data model, its query language, and its software architecture. Also included are a summary of the current status of the project and a first glimpse into how AsterixDB performs when compared to alternative technologies, including a parallel relational DBMS, a popular NoSQL store, and a popular Hadoop-based SQL data analytics platform, for things that both technologies can do. Also included is a brief description of some initial trials that the system has undergone and the lessons learned (and plans laid) based on those early "customer" engagements