Applied Mathematics Commons^™

Self-Correcting Kelly Strategies For Skeptical Traders, Aaron C. Brown

International Conference on Gambling & Risk Taking

The Kelly criterion gives the appropriate bet size in idealized situations with known parameters. In financial trading situations parameters are generally unknown and the mathematical assumptions underlying the Kelly proof are not met precisely. Moreover a risk manager typically must cooperate with a trader who may be skeptical about both the Kelly criterion specifically and the concept of mathematical optimization of bet size in general.

This presentation tackles the problem of designing a Kelly-based system for setting trade risk management parameters that is both self-correcting (the system delivers good results even if initial parameter are misestimated or parameters change) and …

Efficient Simulation Of Fluid Flow, David Hannasch, Monika Neda

Undergraduate Research Opportunities Program (UROP)

We are computationally investigating fluid flow models for physically correct predictions of flow structures. Models based on the idea of filtering the small scales/structures and also the Navier-Stokes equations which are the fundamental equations of fluid flow, are numerically solved via the continuous finite element method. Crank-Nicolson and fractional-step theta scheme are used for the discretization of the time derivative, while the Taylor-Hood and Mini elements are used for the discretization is space. The effectiveness of these numerical discretizations in time and space are examined by studying the accuracy of fluid characteristics, such as drag, lift and pressure drop.