An Approach to the Option Market Model Based on End-User Net Demand

2014 ◽  
Vol 35 (5) ◽  
pp. 476-503
Author(s):  
Hiroshi Sasaki
Keyword(s):  
Market Model ◽  
End User ◽  
Model Based ◽  
Option Market

Model-based diagnosis of the space shuttle main engine

1992 ◽  
Vol 6 (3) ◽  
pp. 131-148 ◽  
Author(s):  
Martin O. Hofmann ◽  
Thomas L. Cost ◽  
Michael Whitley
Keyword(s):  
Space Shuttle ◽  
Diagnostic System ◽  
End User ◽  
Reasoning Process ◽  
Domain Experts ◽  
Model Based ◽  
Knowledge Based ◽  
Modeling Analysis ◽  
Engine Design ◽  
Main Engine

The process of reviewing test data for anomalies after a firing of the Space Shuttle Main Engine (SSME) is a complex, time-consuming task. A project is under way to provide the team of SSME experts with a knowledge-based system to assist in the review and diagnosis task. A model-based approach was chosen because it can be adapted to changes in engine design, is easier to maintain, and can be explained more easily. A complex thermodynamic fluid system like the SSME introduces problems during modeling, analysis, and diagnosis which have as yet been insufficiently studied. We developed a qualitative constraint-based diagnostic system inspired by existing qualitative modeling and constraint-based reasoning methods which addresses these difficulties explicitly. Our approach combines various diagnostic paradigms seamlessly, such as the model-based and heuristic association-based paradigms, in order to better approximate the reasoning process of the domain experts. The end-user interface allows expert users to actively participate in the reasoning process, both by adding their own expertise and by guiding the diagnostic search performed by the system.

A Peer-to-Peer energy trading market model based on time-driven prospect theory in a smart and sustainable energy community

2021 ◽  
Vol 28 ◽  
pp. 100542
Author(s):  
Sobhan Dorahaki ◽  
Masoud Rashidinejad ◽  
Seyed Farshad Fatemi Ardestani ◽  
Amir Abdollahi ◽  
Mohammad Reza Salehizadeh
Keyword(s):  
Prospect Theory ◽  
Sustainable Energy ◽  
Peer To Peer ◽  
Market Model ◽  
Energy Trading ◽  
Model Based ◽  
Trading Market ◽  
Energy Community

How Does High Frequency Risk Hedge Activity Have an Affect on Underlying Market?: Analysis by Artificial Market Model

2014 ◽  
Vol 18 (4) ◽  
pp. 558-566 ◽  
Author(s):  
Saki Kawakubo ◽  
◽  
Kiyoshi Izumi ◽  
Shinobu Yoshimura ◽  
Keyword(s):  
High Frequency ◽  
Low Frequency ◽  
Conclusive Evidence ◽  
Market Model ◽  
Neutral Position ◽  
Dynamic Hedging ◽  
Artificial Market ◽  
Option Markets ◽  
Empirical Approaches ◽  
Option Market

The effect of option markets on their underlying markets has been studied intensively since the first option contract was listed. Despite considerable effort, including the development of theoretical and empirical approaches, we do not yet have conclusive evidence on this effect. We investigate the effect of option markets, especially that of dynamic hedging, on their underlying markets by using an artificial market. We propose a two-market model in which an option market and its underlying market interact. In our model, there are three types of agents, underlying local agents trading only on the underlying market, option local agents who trade only on the option market, and global agents who trade both on the underlying and the option market. In this simulation, we investigate the effect of hedgers, a global agent, to the underlying market. Hedgers who have option contracts trade the underlying asset to keep a delta neutral position. This hedge behavior is called dynamic hedging. We simulate two scenarios; one is the hedge with low frequency and the other is the hedge with high frequency that hedger can send hedge order anytime when hedge miss appears. We confirmed that dynamic hedging increases or decreases the volatility of the underlying market under certain conditions.

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