An artificial economy based on reinforcement learning and agent based modeling

In this paper, we employ techniques from artificial intelligence such as reinforcement learning and agent based modeling as building blocks of a computational model for an economy based on conventions. First we model the interaction among firms in the private sector. These firms behave in an information environment based on conventions, meaning that a firm is likely to behave as its neighbors if it observes that their actions lead to a good pay off. On the other hand, we propose the use of reinforcement learning as a computational model for the role of the government in the economy, as the agent that determines the fiscal policy, and whose objective is to maximize the growth of the economy. We present the implementation of a simulator of the proposed model based on SWARM, that employs the SARSA(λ) algorithm combined with a multilayer perceptron as the function approximation for the action value function.

A Jump Telegraph Model for Option Pricing

In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.

Cálculo de constantes ópticas de películas delgadas de Cu3BiS3 a través del método de Wolfe

Se calculó la obtención de las constantes ópticas usando el método de Wolfe. Dichas contantes: coeficiente de absorción (α), índice de refracción (n) y espesor de una película delgada (d ), son de importancia en el proceso de caracterización óptica del material. Se realizó una comparación del método del Wolfe con el método empleado por R. Swanepoel. Se desarrolló un modelo de programación no lineal con restricciones, de manera que fue posible estimar las constantes ópticas de películas delgadas semiconductoras, a partir únicamente, de datos de transmisión conocidos. Se presentó una solución al modelo de programación no lineal para programación cuadrática. Se demostró la confiabilidad del método propuesto, obteniendo valores de α = 10378.34 cm−1, n = 2.4595, d =989.71 nm y Eg = 1.39 Ev, a través de experimentos numéricos con datos de medidas de transmitancia espectral en películas delgadas de Cu3BiS3.