Building an Artificial Stock Market Populated by Reinforcement-Learning Agents

In this paper we propose an artificial stock market model based on interaction of heterogeneous agents whose forward-looking behaviour is driven by the reinforcement learning algorithm combined with some evolutionary selection mechanism. We use the model for the analysis of market self-regulation abilities, market efficiency and determinants of emergent properties of the financial market. Distinctive and novel features of the model include strong emphasis on the economic content of individual decision making, application of the Q-learning algorithm for driving individual behaviour, and rich market setup.agent-based financial modelling, artificial stock market, complex dynamical system, emergent properties, market efficiency, agent heterogeneity, reinforcement learning

Return, reliability and risk as a proactive set of concepts in developing an efficient integration strategy of companies

For companies that cannot boast about the abundance of resources available for development, it is particularly important to focus their efforts on the optimum use of such resources and to ensure the reliability of change in the development process to counterbalance the potential losses caused by uncertainty and risk. The article explores the theoretical substantiation for the integral management system of processes covered by the concepts of efficiency, reliability and risk of development. Also, it looks at the practical application of the system through the examination of a specific situation by employing analytical possibilities of a stochastic network. It should also be noted that the concepts of efficiency, reliability and risk are used not only in the assessment of the key development processes of a company but also in the deliberation of the real formation of input as well as its transformation into output results. To formulate and solve the management problems of the complex system, a number of methods were used, namely, the stochastic recording of the aims, the existing restrictions and the stochastic optimisation

Finansų analizės problemos esant neapibrėžties galimybei

The uncertainty and the risk related - are not only the attributes of the perspective, the empirical vision of the environment surrounding us - it is a random illustration. This is declared by one of the oldest spheres of the science and the practice - measurement theory and practice, which declare that any measurement as an act of the empirical cognition never is completely precise and can be interpreted as a random parameter. The scale of indetermination increases when the future possibilities are analyzed. Financial accounting, analysis and auditing as a knowledge system about the business state and development possibilities, arc based on measurement and forecasting. So the empirical recognition of the analyzed object as well as foreseeing of their possibilities in future - it is the structural description of their possible states totality, using the probability distribution of those possibilities. The conception of the financial analysis performance is presented in this work under possibilities of uncertainty also the system of the imitative models are suggested by the help of which the financial analysis can be performed under the uncertainty and the risk correspondingly.Pagrindinis straipsnio tikslas - parodyti, kad finansiniai koeficientai ar kiti finansinės analizės rodikliai, nepagrįsti adekvačiomis prielaidomis apie jų stochastinę prigimtį bei adekvačiomis nusakymo formomis - kaip jų galimybių tikimybės skirstiniai - daugeliu atvejų nėra informatyvūs, o neretai ir klaidinantys. Kartu siūlomi būdai, kaip pereiti nuo apskaitos ir analizės naudojantis vienareikšmiais dydžiais prie šių dydžių galimybių skirstinių nustatymo bei atitinkamų įvykių galimybių valdymo.Straipsnyje fragmentiškai aptarus pagrindinius finansų apskaitos, analizės ir audito sistemos tikslus bei jų pasiekimo priemonių ir prielaidų, atliekant finansų analizę ir prognozę, neadekvatumą, nagrinėjamos šios problemos:• Galimybių ne vienareikšmiškumo ateityje pripažinimas - pirmas žingsnis į adekvatų apskaitos, analizės ir audito modelį;• Kiekybinės finansų analizės rezultatų, esant galimybių ne vienareikšmiškumo prielaidai, aprašymas ir interpretavimas.Kartu pateikiamos išvados ir pasiūlymai.Kita vertus, straipsnyje mėginama argumentuotai paneigti dažnus teiginius, kad finansų ir kitų socialinių mokslų tyrimų kiekybiniai rezultatai yra greičiau išimtys, o ne apibendrintos išvados [1]. Stengiantis paneigti tokių teiginių neginčijamumą, bandoma atskleisti situacijas bei priežastis, kurios sudaro pagrindą tokiems teiginiams, ir ieškoti adekvačių informacijos sutvarkymo ir tyrimo metodų. Tai daroma visų pirma kritikai įvertinant šiandienos finansų apskaitoje, analizėje ir audite proteguojamą prielaidą apie galimybių vienareikšmiškumą tiek istoriniu, tiek perspektyvos vertinimu. Kartu parodoma, kaip ši prielaida gali tapti realia galimybių nuslėpimo (išlaikymo paslaptyje) priemone, o kartu ir leisti daryti minėtus priekaištus socialinių mokslų tyrimo metodikai

Adekvačiojo investavimo portfelio anatomija ir sprendimai panaudojant imitacines technologijas

The paper consistently analyses the process of the author’s so-called adequate investment portfolio formation; also, adequate portfolio application analogies with the modem or Markowitz portfolio are presented. Adequate portfolio application peculiarities are disclosed when investment assets possess complex probability distributions of profitability possibilities, as well as for the integrated management of assets and liabilities. Imitation modelling possibilities, of solving the model system expressing adequate portfolio contents are also examined. Such system generally appears to be a complex stochastical programming task, thus original methods of problem formulation and decision-making are required for its analysis. The paper describes situation representative analogue idea, the essence of which is expressed by the of an application integrated representative set and imitation modelling possibilities. Finally, the paper illustrates an adequate investment portfolio and situation representative analogue application for solving a particular of problem investment. For an adequate portfolio development and management, the imitation technologies technique presented by the author is used. It allows finding decisions for portfolio objectives expressed as stochastical programming tasks at a desired level of accuracy.Šiame straipsnyje nuosekliai išdėstoma autoriaus taip pavadinto adekvačiojo investavimo portfelio sudarymo eiga, pateikiamos adekvačiojo investavimo portfelio panaudojimo analogijos su moderniuoju, arba Markowitzo, portfeliu. Atskleidžiami adekvačiojo investavimo portfelio panaudojimo ypatumai, kai investavimo aktyvai turi sudėtingus savo pelningumo galimybių tikimybės skirstinius, taip pat integruotam akyvų ir įsipareigojimų valdymui. Kartu straipsnyje yra nagrinėjamos imitacinio modeliavimo galimybės, sprendžiant adekvačiojo portfelio turinį išreiškiančių matematinių modelių sistemą, kuri savo ruožtu būna sudėtinga stochastinio programavimo problema: jai nagrinėti reikia originalių problemos formulavimo ir sprendimo metodų. Straipsnyje pateikiama situacijų reprezentatyviojo analogo idėja, kurios esmę išreiškia integruotas reprezentatyviosios aibės ir imitacinio modeliavimo galimybių panaudojimas. Galiausiai straipsnyje parodoma, kaip adekvatusis investavimo portfelis ir situacijos reprezentatyvusis analogas naudojami konkrečiai investavimo problemai spręsti

Integrated asset and liability portfolio as instrument of liquidity management in the commercial bank

Liquidity, or the ability to fund increases in assets and meet obligations as they come due, is crucial to the ongoing viability of any banking organization. Therefore, managing liquidity is among the most important activities conducted by banks. Liquidity management model proposed by the authors can reduce the probability of serious problems. Indeed, the importance of liquidity transcends the individual bank, since a liquidity shortfall at a single institution can have system‐wide repercussions. For this reason, the analysis of liquidity requires bank management not only to measure the liquidity position of the bank on an ongoing basis but also to examine how funding requirements are likely to evolve under various scenarios, including adverse conditions. The authors have focused on developing a greater understanding of the way in which banks can manage their liquidity using a broad potential of integrated asset and liability portfolio. As instrument for the solution of the assessed problem the integrated total commercial bank asset and liability structure formation and management when useful occurrence of integrated structure and every outcome is followed with some guarantee to occur was chosen. An academic example is shown as an illustration for ideas analyzed. The formality and sophistication of the process used to manage liquidity depends on the size and sophistication of the bank, as well as the nature and complexity of its activities. The principles focused in the paper have broad applicability to all banks. In particular, good management information systems, analysis of net funding requirements under alternative scenarios, diversification of funding sources, and contingency planning are crucial elements of strong liquidity management at a bank of any size or scope of operations. Firstd Published Online: 14 Oct 201

Research on futures trend trading strategy based on short term chart pattern

The main task of this paper is to examine a short term trend trading strategy in futures market based on chart pattern recognition, time series and computational analysis. Specifications of historical data for technical analysis and equations for futures profitability calculations together with position size measurement are also discussed in the paper. A contribution of this paper lies in a novel chart pattern related to fractal formation and chaos theory and its application to short term up-trend trading. Trading strategy was tested with historical data of the most active futures contracts. The results have given significantly better and stable returns compared to the change of market benchmark (CRB index). The results of experimental research related to the size of trading portfolio and trade execution slippage are also discussed in the paper. The proposed strategy can be attractive for futures market participants and be applied as a decision support tool in technical analysis

Guest editorial

"Guest editorial"  Journal of Business Economics and Management, 8(4), p. 23

Building an artificial stock market populated by reinforcement‐learning agents

In this paper we propose an artificial stock market model based on interaction of heterogeneous agents whose forward‐looking behaviour is driven by the reinforcement‐learning algorithm combined with some evolutionary selection mechanism. We use the model for the analysis of market self‐regulation abilities, market efficiency and determinants of emergent properties of the financial market. Distinctive and novel features of the model include strong emphasis on the economic content of individual decision‐making, application of the Q‐learning algorithm for driving individual behaviour, and rich market setup. Along with that a parallel version of the model is presented, which is mainly based on research of current changes in the market, as well as on search of newly emerged consistent patterns, and which has been repeatedly used for optimal decisions’ search experiments in various capital markets. First Publish Online: 14 Oct 201

Formation of an investment portfolio adequate for stochasticity of profit possibilities

The paper deals with the conception of integrated bank assets and liabilities portfolio adequate to stochastic nature of assets profitability and liabilities expenditures. Two interconnected situations are considered. Firstly, the principles of construction of an investment portfolio, adequate to stochastic nature of an investment yield arc considered. Further, the idea of consideration and optimal selection of integrated assets and liabilities portfolio is considered. These problems are solved on the basis of the authors’ idea of investment portfolio adequate for stochastic nature of investment portfolio and the numerical solution of such problems, which is briefly presented. First Published Online: 14 Oct 201