Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

Searching for consensus in ahp-group decision making. A bayesian perspective

This paper sets out to identify the initial positions of the different decision makers who intervene in a group decision making process with a reduced number of actors, and to establish possible consensus paths between these actors. As a methodological support, it employs one of the most widely-known multicriteria decision techniques, namely, the Analytic Hierarchy Process (AHP). Assuming that the judgements elicited by the decision makers follow the so-called multiplicative model (Crawford and Williams, 1985; Altuzarra et al., 1997; Laininen and Hämäläinen, 2003) with log-normal errors and unknown variance, a Bayesian approach is used in the estimation of the relative priorities of the alternatives being compared. These priorities, estimated by way of the median of the posterior distribution and normalised in a distributive manner (priorities add up to one), are a clear example of compositional data that will be used in the search for consensus between the actors involved in the resolution of the problem through the use of Multidimensional Scaling tools

Group preference structures in AHP–group decision making

This paper presents a procedure that allows us to determine the preference structures (PS) associated to each of the different groups of actors that can be identified in a group decision making problem with a large number of individuals. To that end, it makes use of the Analytic Hierarchy Process (AHP) (Saaty, 1980) as the technique to solve discrete multicriteria decision making problems. This technique permits the resolution of multicriteria, multienvironment and multiactor problems in which subjective aspects and uncertainty have been incorporated into the model, constructing ratio scales corresponding to the priorities relative to the elements being compared, normalised in a distributive manner (wi = 1). On the basis of the individuals’ priorities we identify different clusters for the decision makers and, for each of these, the associated preference structure using, to that end, tools analogous to those of Multidimensional Scaling. The resulting PS will be employed to extract knowledge for the subsequent negotiation processes and, should it be necessary, to determine the relative importance of the alternatives being compared using anyone of the existing procedures

An fMRI Study of Emotional engagement in decicion-making

It has been suggested that decision making depends on sensitive feelings associated with cognitive processing rather than cognitive processing alone. From human lesions, we know the medial anterior inferior-ventral prefrontal cortex processes the sensitivity associated with cognitive processing, it being essentially responsible for decision making. In this fMRI (functional Magnetic Resonance Image) study 15 subjects were analyzed using moral dilemmas as probes to investigate the neural basis for painful-emotional sensitivity associated with decision making. We found that a network comprising the posterior and anterior cingulate and the medial anterior prefrontal cortex was significantly and specifically activated by painful moral dilemmas, but not by non-painful dilemmas. These findings provide new evidence that the cingulate and medial anterior prefrontal are involved in processing painful emotional sensibility, in particular, when decision making takes place. We speculate that decision making has a cognitive component processed by cognitive brain areas and a sensitivity component processed by emotional brain areas. The structures activated suggest that decision making depends on painful emotional feeling processing rather than cognitive processing when painful feeling processing happens

CAC controlled services sharing a link with connectionless data services in an ATM network: a performance evaluation study

In the B-ISDN there is a provision for four classes of services, all of them supported by a single transport network (the ATM network). Three of these services, the connected oriented (CO) ones, permit connection access control (CAC) but the fourth, the connectionless oriented (CLO) one, does not. Therefore, when CLO service and CO services have to share the same ATM link, a conflict may arise. This is because a bandwidth allocation to obtain maximum statistical gain can damage the contracted ATM quality of service (QOS); and vice versa, in order to guarantee the contracted QOS, the statistical gain have to be sacrificed. The paper presents a performance evaluation study of the influence of the CLO service on a CO service (a circuit emulation service or a variable bit-rate service) when sharing the same link

An improved method for discovering link criticality in transport networks

Quantitatively assessing the importance or criticality of each link in a network is of practical value to operators, as that can help them to increase the network's resilience, provide more efficient services, or improve some other aspect of the service. Betweenness is a graph-theoretical measure of centrality that can be applied to communication networks to evaluate link importance. However, as we illustrate in this paper, the basic definition of betweenness centrality produces inaccurate estimations as it does not take into account some aspects relevant to networking, such as the heterogeneity in link capacity or the difference between node-pairs in their contribution to the total traffic. A new algorithm for discovering link centrality in transport networks is proposed in this paper. It requires only static or semi-static network and topology attributes, and yet produces estimations of good accuracy, as verified through extensive simulations. Its potential value is demonstrated by an example application. In the example, the simple shortest-path routing algorithm is improved in such a way that it outperforms other more advanced algorithms in terms of blocking ratio

Past and present enviroments : The evolution of decisi??n making

Resumen tomado de la publicaci??n

Regression-based techniques for statistical decision making in singlecase designs

Resumen tomado de la publicaci??n

TU Graz: Course: 707.000 Web Science and Web Technology: Lecture 7: Link Analysis and Search

What are ways of searching in graphs? In this class, we will discuss basics of link analysis, including Google's PageRank algorithm as an example. Readings: The PageRank Citation Ranking: Bringing Order to the Web, L. Page and S. Brin and R. Motwani and T. Winograd (1998) Stanford Tecnical Report

David Gauntlett's inaugural lecture, 'Participation culture, creativity, and social change', from 12 November 2008: the key themes in ten minutes

David Gauntlett's inaugural lecture from November 2008, in which he points to a shift from a 'sit down and be told' culture to a more creative 'making and doing' culture, which may offer one of the necessary keys to tackling climate change and environmental problems.

Link to ten short video episodes about groupwork

"Rob, Vikki, Shireen, Muzz and Delia have been randomly selected to work together to develop a presentation entitled 'The barriers to learning'. It's not an easy ride. The following 10 episodes show the journey, from their first meeting through to their impressions of the presentation and working together". Produced by the LearnHigher CETL Three areas covered by the site as follows Listening and Interpersonal Skills - the University of Leeds Oral Presentations - Brunel University Group Work - Bradford University

Scanning Images

Sometimes you may need to scan in photographs, books or magazines. Scanning is the easy part but making sure your settings are right is the important part. Scan at 300dpi to the size you need to print A4 scanner but you need A3 print - no problem scan at 600dpi Always scan as a TIFF file format as this will give you a non compressed source to work from.

Getting images from a Digital Camera

Getting images from a Digital Camera is pretty straight forward. However this is the easy part, its getting the right image and making sure your digital file is good enough for your output. Set you camera or mobile phone to the highest settings, this will give you more options when you come to manipulate or edit the file Remember to make copies of files for editing so you can always return to your original image if you need too

Academic study skills guides for students with dyslexia

Six downloadable guides produced by Dyslexia Services covering: academic writing; dissertations; memory, revision and exam techniques; note taking and note making; organisation and time management; reading and research skills

Making the case: an academic guide to research

This guide gives advice on the best ways to find and select the most useful, reliable and relevant information to support and argument in your essay.