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1. 发明申请

WO2008103469A1 SYSTEM AND METHOD FOR DYNAMIC PATH- AND STATE-DEPENDENT STOCHASTIC CONTROL ALLOCATION 审中-公开
标题翻译：用于动态PATH和状态依赖STOCHASTIC控制分配的系统和方法
公开(公告)号：WO2008103469A1
公开(公告)日：2008-08-28
申请号：PCT/US2008/002389
申请日：2008-02-21
申请人： MORDECAI, David, K. A.
发明人： MORDECAI, David, K. A.
IPC分类号： G06Q10/00
CPC分类号： G06Q40/025 , G06Q20/10 , G06Q30/0238 , G06Q40/00 , G06Q40/04 , G06Q40/06
摘要： The invention includes a system and process that employs contractual bargaining with agent-based computational methods for the dynamic allocation, optimization, and pricing of contingent rights and obligations between multiple counterparties with overlapping interests. The processes employ a dynamic and endogenous hierarchy or tiering of binding incentive compatible contingent strategies, which may include optimal liquidation policies for matched assets and liabilities based upon stochastic volume/price schedule related to statistically non-stationary supply/demand elasticities and order-flow, as well as variations in market microstructure. The invention includes a dynamic open system with distributed stochastic control of strategic interactions among dynamic optimizing agents across random states, wherein the actions of any one affects the joint costs and benefits for all the agents.
摘要翻译：本发明包括采用基于代理的计算方法的合同谈判的系统和过程，用于具有重叠利益的多个交易对手之间的或有权利和义务的动态分配，优化和定价。这些过程采用动态和内生层次结构或分层结合激励兼容或有策略，其中可能包括基于与统计非稳定供需弹性和订单流相关的随机量/价格表的匹配资产和负债的最优清算政策，以及市场微观结构的变化。本发明包括一种具有随机状态的动态优化代理之间的战略互动分布随机控制的动态开放系统，其中任何一种动作影响所有代理人的联合成本和收益。

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