Trading Robots and Management in Chaotic Environments: a Review and Critique Analysis

Ananchenko, I.V.; Мусаев, Александр Азерович

doi:10.15622/sp.34.9

Cited by 4 publications

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On the Solution of Linear Programming Problems in the Age of Big Data

Sokolinskaya

Sokolinsky

2017

Communications in Computer and Information Science

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The Big Data phenomenon has spawned large-scale linear programming problems. In many cases, these problems are non-stationary. In this paper, we describe a new scalable algorithm called NSLP for solving high-dimensional, non-stationary linear programming problems on modern cluster computing systems. The algorithm consists of two phases: Quest and Targeting. The Quest phase calculates a solution of the system of inequalities defining the constraint system of the linear programming problem under the condition of dynamic changes in input data. To this end, the apparatus of Fejer mappings is used. The Targeting phase forms a special system of points having the shape of an n-dimensional axisymmetric cross. The cross moves in the n-dimensional space in such a way that the solution of the linear programming problem is located all the time in an "-vicinity of the central point of the cross.Comment: Parallel Computational Technologies - 11th International Conference, PCT 2017, Kazan, Russia, April 3-7, 2017, Proceedings (to be published in Communications in Computer and Information Science, vol. 753

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On the Solution of Linear Programming Problems in the Age of Big Data

Sokolinskaya

Sokolinsky

2017

Communications in Computer and Information Science

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Modification of long-term volatility trading methods based on a delta-neutral strategy

Plotnikov

Петрович²,

Glazkov

et al. 2021

Vestnik of Samara University. Economics and Management

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Delta-neutral trading strategies for trading volatility allow you to make a profit regardless of the direction of change in the price of the underlying asset. Despite their popularity and high efficiency, they are usually made manually, which makes them less systematic and vulnerable to the negative influence of the human factor (emotions, late actions, erroneous submission of applications, etc.). The article proposes a unified delta- neutral strategy, taking into account several parameters for long-term volatility trading through transactions with underlying assets (futures or stocks) and options on these underlying assets, which creates prerequisites for its automation. The use of the strategy helps to increase the liquidity of investment assets traded on the exchange, increases the receipt of taxes, exchange fees and commissions, which brings great socio-economic benefits. Automation of the strategy significantly simplifies calculations, increases the speed of decision-making and can significantly increase the number of transactions made in the financial markets. In addition, the automatic calculation of the optimal values of the method parameters can make a significant contribution to the theoretical research of the modifications of the volatility trading methods.

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An algorithm for organizing long volatility trading based on a delta-neutral strategy

Plotnikov

Shishlov

Arsenov

2022

Vestnik of Samara University. Economics and Management

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The article is devoted to the problem of automation of long volatility trading in the financial market using delta-neutral trading strategies. Most operations on them, as a rule, are performed manually, which makes them less systematic and vulnerable to the negative influence of the human factor (emotions, tardiness of actions, erroneous submission of applications, etc.). To solve this problem, the article proposes a unified algorithm for a delta-neutral strategy, taking into account several parameters for long volatility trading through transactions with futures on underlying assets and options on these futures. For greater clarity, the algorithm is supplemented with a diagram made in BPMN 2.0 notation.

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Trading Robots and Management in Chaotic Environments: a Review and Critique Analysis

Cited by 4 publications

References 0 publications

On the Solution of Linear Programming Problems in the Age of Big Data

On the Solution of Linear Programming Problems in the Age of Big Data

Modification of long-term volatility trading methods based on a delta-neutral strategy

An algorithm for organizing long volatility trading based on a delta-neutral strategy

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