Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Selecting a multi-agent system development tool for industrial applications: A case study of self-serving aircraft assets

Industrialists have few example processes they can benchmark against in order to choose a multi-agent development kit. In this paper we present a review of commercial and academic agent tools with the aim of selecting one for developing an intelligent, self-serving asset architecture. In doing so, we map and enhance relevant assessment criteria found in literature. After a preliminary review of 20 multiagent platforms, we examine in further detail those of JADE, JACK and Cougaar. Our findings indicate that Cougaar is well suited for our requirements, showing excellent support for criteria such as scalability, persistence, mobility and lightweightness. © 2010 IEEE.

Towards measuring the impact of information availability on maintenance decisions

Decisions concerning maintenance have become increasingly important and requires a diverse set of information as systems become more complex. The availability of information has an impact on the effectiveness of these decisions, and thus on the performance of the asset. This paper highlights the importance of quantifying the value of information on maintenance decisions and asset performance. In particular, we emphasise the need to focus on measuring value as opposed to cost of maintenance, which is the current practice. In this direction, we propose a measure - Value of Ownership (VOO) - to assess the value of information and performance of maintenance decisions throughout an assets lifecycle. © 2009 IFAC.

Project neptune: Improved operation of water distribution networks

Water service providers (WSPs) in the UK have statutory obligations to supply drinking water to all customers that complies with increasingly stringent water quality regulations and minimum flow and pressure criteria. At the same time, the industry is required by regulators and investors to demonstrate increasing operational efficiency and to meet a wide range of performance criteria that are expected to improve year-on-year. Most WSPs have an ideal for improving the operation of their water supply systems based on increased knowledge and understanding of their assets and a shift to proactive management followed by steadily increasing degrees of system monitoring, automation and optimisation. The fundamental mission is, however, to ensure security of supply, with no interruptions and water quality of the highest standard at the tap. Unfortunately, advanced technologies required to fully understand, manage and automate water supply system operation either do not yet exist, are only partially evolved, or have not yet been reliably proven for live water distribution systems. It is this deficiency that the project NEPTUNE seeks to address by carrying out research into 3 main areas; these are: data and knowledge management; pressure management (including energy management); and the associated complex decision support systems on which to base interventions. The 3-year project started in April of 2007 and has already resulted in a number of research findings under the three main research priority areas (RPA). The paper summarises in greater detail the overall project objectives, the RPA activities and the areas of research innovation that are being undertaken in this major, UK collaborative study. Copyright 2009 ASCE.