Institute of Information Theory and Automation

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Projects

Dept.: E Duration: 2019 - 2021
The goal of this Project is to study arbitrage opportunities on limit order markets with boundedly rational agents. To this end, we aim to construct a model of a market with boundedly rational liquidity providers (market makers), liquidity takers (institutional/retail investors) and arbitragers (high frequency traders), and examine pay-offs of the arbitragers depending on the market's...
Dept.: E Duration: 2016 - 2018
The aim of this project is to model optimal dynamic behaviour of a risk-averse European carbon-emitting steel producer, to design and implement an algorithm solving the corresponding multi-stage optimisation problem and apply the model to a real-life steel company. A linear combination of mean profit and conditional value at risk will serve as a decision criterion; decision variables will...
Dept.: E Duration: 2015 - 2017
The aim of the project is to create a dynamical structural model of a mortgage portfolio consisting of multiple tranches. A default of a loan will be driven by a sum of three factors: an overall one, a tranche specific one and an individual one. Analogously, a loss (given default) of individual mortgages will be driven by a sum of three factors (possibly standing for a collateral value). The...
Dept.: E Duration: 2006 - 2008
The goal of the proposed project is the construction and the verification of a new model of a financial market's behaviour. The model is aimed to assume the heterogeneity of the agents and the non-synchronicity of the agent's actions, to consider the microstructure of the market (i.e. the rules according to which the market is functioning) and to take the liquidity of the market into...