33 resultados para Bull and bear markets


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Multi-agent algorithms inspired by the division of labour in social insects and by markets, are applied to a constrained problem of distributed task allocation. The efficiency (average number of tasks performed), the flexibility (ability to react to changes in the environment), and the sensitivity to load (ability to cope with differing demands) are investigated in both static and dynamic environments. A hybrid algorithm combining both approaches, is shown to exhibit improved efficiency and robustness. We employ nature inspired particle swarm optimisation to obtain optimised parameters for all algorithms in a range of representative environments. Although results are obtained for large population sizes to avoid finite size effects, the influence of population size on the performance is also analysed. From a theoretical point of view, we analyse the causes of efficiency loss, derive theoretical upper bounds for the efficiency, and compare these with the experimental results.

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This paper introduces a new technique for optimizing the trading strategy of brokers that autonomously trade in re- tail and wholesale markets. Simultaneous optimization of re- tail and wholesale strategies has been considered by existing studies as intractable. Therefore, each of these strategies is optimized separately and their interdependence is generally ignored, with resulting broker agents not aiming for a glob- ally optimal retail and wholesale strategy. In this paper, we propose a novel formalization, based on a semi-Markov deci- sion process (SMDP), which globally and simultaneously op- timizes retail and wholesale strategies. The SMDP is solved using hierarchical reinforcement learning (HRL) in multi- agent environments. To address the curse of dimensionality, which arises when applying SMDP and HRL to complex de- cision problems, we propose an ecient knowledge transfer approach. This enables the reuse of learned trading skills in order to speed up the learning in new markets, at the same time as making the broker transportable across market envi- ronments. The proposed SMDP-broker has been thoroughly evaluated in two well-established multi-agent simulation en- vironments within the Trading Agent Competition (TAC) community. Analysis of controlled experiments shows that this broker can outperform the top TAC-brokers. More- over, our broker is able to perform well in a wide range of environments by re-using knowledge acquired in previously experienced settings.

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Since the development of large scale power grid interconnections and power markets, research on available transfer capability (ATC) has attracted great attention. The challenges for accurate assessment of ATC originate from the numerous uncertainties in electricity generation, transmission, distribution and utilization sectors. Power system uncertainties can be mainly described as two types: randomness and fuzziness. However, the traditional transmission reliability margin (TRM) approach only considers randomness. Based on credibility theory, this paper firstly built models of generators, transmission lines and loads according to their features of both randomness and fuzziness. Then a random fuzzy simulation is applied, along with a novel method proposed for ATC assessment, in which both randomness and fuzziness are considered. The bootstrap method and multi-core parallel computing technique are introduced to enhance the processing speed. By implementing simulation for the IEEE-30-bus system and a real-life system located in Northwest China, the viability of the models and the proposed method is verified.