- News
- Subject and Goals
- Council and Annual Reports
- Contacts and Working Groups
- Lectures and Presentations
- Conferences and Seminars
- Publications
- Application Demos
- International Travels
- Visitors
- Past Events
- E-Synergy Login
SEARCH
MEMBERS OF RESEARCH CENTER
Research Centre
Data - Algorithms - Decision Making
Data - Algorithms - Decision Making
Established in 2005 under support of MŠMT ČR (project 1M0572)
Publications
Dynamic decision making based on iterations-spread-in-time strategy
Typ:
Research report
Authors:
Šindelář J., Křivánek O.
Name of edition:
Research Report
Article number:
2228
Publisher:
ÚTIA AV ČR
Serie:
Praha
Year:
2008
Keywords:
Futures contracts, Bayesian estimation, Dynamic decision
Anotation:
This article describes a formal approach to decision making optimization in commodity futures markets. Our aim was to design optimal decision strategy generating decision at a given time. It contains theoretical description of estimation using Bayesian learning and approximate methods of dynamic programming. Finally, the original decision strategy using approximate methods of dynamic programming was designed. This strategy was tested by a series of experiments indicating our ability to construct pro table trading machine.