2,491 research outputs found
Realtime market microstructure analysis: online Transaction Cost Analysis
Motivated by the practical challenge in monitoring the performance of a large
number of algorithmic trading orders, this paper provides a methodology that
leads to automatic discovery of the causes that lie behind a poor trading
performance. It also gives theoretical foundations to a generic framework for
real-time trading analysis. Academic literature provides different ways to
formalize these algorithms and show how optimal they can be from a
mean-variance, a stochastic control, an impulse control or a statistical
learning viewpoint. This paper is agnostic about the way the algorithm has been
built and provides a theoretical formalism to identify in real-time the market
conditions that influenced its efficiency or inefficiency. For a given set of
characteristics describing the market context, selected by a practitioner, we
first show how a set of additional derived explanatory factors, called anomaly
detectors, can be created for each market order. We then will present an online
methodology to quantify how this extended set of factors, at any given time,
predicts which of the orders are underperforming while calculating the
predictive power of this explanatory factor set. Armed with this information,
which we call influence analysis, we intend to empower the order monitoring
user to take appropriate action on any affected orders by re-calibrating the
trading algorithms working the order through new parameters, pausing their
execution or taking over more direct trading control. Also we intend that use
of this method in the post trade analysis of algorithms can be taken advantage
of to automatically adjust their trading action.Comment: 33 pages, 12 figure
Prescriptive Analytics in Procurement: Reducing Process Costs
In obtaining low-cost goods, the indirect expenses associated with sourcing suppliers can be substantial compared to the potential advantages of lower direct purchase costs. We addressed this problem as an exploration vs. exploitation trade-off. The proposed methodology uses a Bayesian technique to learn a stochastically optimal sourcing strategy directly from quotation data. We illustrate our approach using real quotation data for the procurement of electronic resistors (n=201,187). Rather than making optimal predictions, we concentrate on making optimal decisions. In doing so, we offered a significant improvement in purchase and procurement process costs. Our model is also more robust to prediction errors
Foresighted digital twin for situational agent selection in production control
As intelligent Data Acquisition and Analysis in Manufacturing nears its apex, a new era of Digital Twins is dawning. Foresighted Digital Twins enable short- to medium-term system behavior predictions to infer optimal production operation strategies. Creating up-to-the-minute Digital Twins requires both the availability of real-time data and its incorporation and serve as a stepping-stone into developing unprecedented forms of production control. Consequently, we regard a new concept of Digital Twins that includes foresight, thereby enabling situational selection of production control agents. One critical element for adequate system predictions is human behavior as it is neither rule-based nor deterministic, which we therefore model applying Reinforcement Learning. Owing to these ever-changing circumstances, rigid operation strategies crucially restrain reactions, as opposed to circumstantial control strategies that hence can outperform traditional approaches. Building on enhanced foresights we show the superiority of this approach and present strategies for improved situational agent selection
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