An exact single-agent task selection algorithm for the crowdsourced logistics

Agency for Science, Technology and Research (A*STAR); Fujitsu; National Research Foundation (NRF) Singapor

Designing the Market Game for a Commodity Trading Simulation

In this paper, we propose to design a market game that (a) can be used in modeling and studying commodity trad-ing scenarios, and (b) can be used in capturing human traders ’ behaviors. Specifically, we demonstrate the useful-ness of this commodity trading game in a single-commodity futures trading scenario. A pilot experiment was run with a mixture of human traders and an autonomous agent that emulates the aggregated market condition, with the assump-tion that this autonomous agent would hint each of its action through a public announcement. We show that the informa-tion collected from this simulation can be used to extract the pattern of successful human traders. Finally, we elaborate on the potential of this market game in studying autonomous commodity trading. 1

Knowledge-driven Autonomous Commodity Trading Advisor

Abstract—The myth that financial trading is an art has been mostly destroyed in the recent decade due to the proliferation of algorithmic trading. In equity markets, algorithmic trading has already bypass human traders in terms of traded volume. This trend seems to be irreversible, and other asset classes are also quickly becoming dominated by the machine traders. However, for asset that requires deeper understanding of physicality, like the trading of commodities, human traders still have significant edge over machines. The primary advantage of human traders in such market is the qualitative expert knowledge that requires traders to consider not just the financial information, but also a wide variety of physical constraints and information. However, due to rapid technology changes and the “invasion ” of cashrich hedge funds, even this traditionally human-centric asset class is crying for help in handling increasingly complicated and volatile environment. In this paper, we propose an adaptive trading support framework that allows us to quantify expert’s knowledge to help human traders. Our method is based on a two-state switching Kalman filter, which updates its state estimation continuously with real-time information. We demonstrate the effectiveness of our approach in palm oil trading, which is becoming more and more complicated in recent years due to its new usage in producing biofuel. We show that the two-state switching Kalman filter tuned with expert domain knowledge can effectively reduce prediction errors when compared against traditional single-state econometric models. With a simple back test, we also demonstrate that even a slight decrease in the prediction errors can lead to significant improvement in the trading performance of a naive trading algorithm. Keywords-autonomous trading, commodity trading, switching Kalman filter I

Iterated Weaker-than-Weak Dominance

We introduce a weakening of standard gametheoretic dominance conditions, called δ-dominance, which enables more aggressive pruning of candidate strategies at the cost of solution accuracy. Equilibria of a game obtained by eliminating a δ-dominated strategy are guaranteed to be approximate equilibria of the original game, with degree of approximation bounded by the dominance parameter, δ. We can apply elimination of δ-dominated strategies iteratively, but the δ for which a strategy may be eliminated depends on prior eliminations. We discuss implications of this order independence, and propose greedy heuristics for determining a sequence of eliminations to reduce the game as far as possible while keeping down costs. A case study analysis of an empirical 2-player game serves to illustrate the technique, and demonstrate the utility of weaker-than-weak dominance pruning.

Density Peaks Clustering Approach for Discovering Demand Hot Spots in City-scale Taxi Fleet Dataset

Abstract—In this paper, we introduce a variant of the density peaks clustering (DPC) approach for discovering demand hot spots from a low-frequency, low-quality taxi fleet operational dataset. From the literature, the DPC approach mainly uses density peaks as features to discover potential cluster centers, and this requires distances between all pairs of data points to be calculated. This implies that the DPC approach can only be applied to cases with relatively small numbers of data points. For the domain of urban taxi operations that we are interested in, we could have millions of demand points per day, and calculating all-pair distances between all demand points would be practically impossible, thus making DPC approach not applicable. To address this issue, we project all points to a density image and execute our variant of the DPC algorithm on the processed image. Experiment results show that our proposed DPC variant could get similar results as original DPC, yet with much shorter execution time and lower memory consumption. By running our DPC variant on a real-world dataset collected in Singapore, we show that there are indeed recurrent demand hot spots within the central business district that are not covered by the current taxi stand design. Our approach could be of use to both taxi fleet operator and traffic planners in guiding drivers and setting up taxi stands. I