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Full-Text Articles in Operations Research, Systems Engineering and Industrial Engineering
An Analysis Of Extreme Price Shocks And Illiquidity Among Systematic Trend Followers, Bernard Lee, Shih-Fen Cheng, Annie Koh
An Analysis Of Extreme Price Shocks And Illiquidity Among Systematic Trend Followers, Bernard Lee, Shih-Fen Cheng, Annie Koh
Research Collection Lee Kong Chian School Of Business
We construct an agent-based model to study the interplay between extreme price shocks and illiquidity in the presence of systematic traders known as trend followers. The agent-based approach is particularly attractive in modeling commodity markets because the approach allows for the explicit modeling of production, capacities, and storage constraints. Our study begins by using the price stream from a market simulation involving human participants and studies the behavior of various trend-following strategies, assuming initially that their participation will not impact the market. We notice an incremental deterioration in strategy performance as and when strategies deviate further and further from the …
An Analysis Of Extreme Price Shocks And Illiquidity Among Trend Followers, Bernard Lee, Shih-Fen Cheng, Annie Koh
An Analysis Of Extreme Price Shocks And Illiquidity Among Trend Followers, Bernard Lee, Shih-Fen Cheng, Annie Koh
Research Collection School Of Computing and Information Systems
We construct an agent-based model to study the interplay between extreme price shocks and illiquidity in the presence of systematic traders known as trend followers. The agent-based approach is particularly attractive in modeling commodity markets because the approach allows for the explicit modeling of production, capacities, and storage constraints. Our study begins by using the price stream from a market simulation involving human participants and studies the behavior of various trend-following strategies, assuming initially that their participation will not impact the market. We notice an incremental deterioration in strategy performance as and when strategies deviate further and further from the …
Risk And System-Of-Systems: Toward A Unified Concept, C. Ariel Pinto, Michael K. Mcshane, Rani Kady
Risk And System-Of-Systems: Toward A Unified Concept, C. Ariel Pinto, Michael K. Mcshane, Rani Kady
Engineering Management & Systems Engineering Faculty Publications
The scope of this paper is the survey of both fundamental and most recent publications in system-of-systems, business and insurance, as well as risk analysis, modeling, and management for the purpose of better describing the concept of risk in recognition of emergence and complexity which characterizes many systems within the concern of engineering and business managers. The ultimate goal is to provide engineering and business managers the necessary perspective on the concept of risk and in its management for the next generation of sustainable systems - including various descriptions of risk and discussion of the relevance of properties of system-of-systems …