著者

榎原 博之

出版者

日本オペレーションズ・リサーチ学会

雑誌

オペレーションズ・リサーチ (ISSN:00303674)

巻号頁・発行日

vol.37, no.2, pp.82-37, 1992-02

著者

日本オペレーションズ・リサーチ学会編

出版者

日本オペレーションズ・リサーチ学会

巻号頁・発行日

2000

著者

Rei Yamamoto Norio Hibiki

出版者

日本オペレーションズ・リサーチ学会

雑誌

日本オペレーションズ・リサーチ学会論文誌 (ISSN:04534514)

巻号頁・発行日

vol.60, no.3, pp.244-261, 2017-07-25 (Released:2017-07-31)

参考文献数

13

被引用文献数

2

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Pairs trading strategy has a history of at least 30 years in the stock market and is one of the most common trading strategies used today due to its understandability. Recently, Yamamoto and Hibiki [13] studied optimal pairs trading strategy using a new approach under actual fund management conditions, such as transaction costs, discrete rebalance intervals, finite investment horizons and so on. However, this approach cannot solve the problem of multiple pairs because this problem is formulated as a large scale simulation based non-continuous optimization problem. In this research, we formulate a model to solve an optimal pairs trading strategy problem using multiple pairs under actual fund management conditions. Furthermore, we propose a heuristic algorithm based on a derivative free optimization (DFO) method for solving this problem efficiently.

著者

Hiroshi Toyoizumi

出版者

日本オペレーションズ・リサーチ学会

雑誌

日本オペレーションズ・リサーチ学会論文誌 (ISSN:04534514)

巻号頁・発行日

vol.60, no.2, pp.101-109, 2017-04-20 (Released:2017-05-02)

参考文献数

19

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The particle survival model, which was originally proposed to analyze the dynamics of species' coexistence, has surprisingly found to be related to a non-homogeneous Poisson process. It is also well known that successive record values of independent and identically distributed sequences have the spatial distribution of such processes. In this paper, we show that the particle survival model and the record value process are indeed equivalent. Further, we study their application to determine the optimal strategy for placing selling orders on stock exchange limit order books. Our approach considers the limit orders as particles, and assumes that the other traders have zero intelligence.

著者

池田 心

出版者

日本オペレーションズ・リサーチ学会

雑誌

オペレーションズ・リサーチ: 経営の科学 (ISSN:00303674)

巻号頁・発行日

vol.58, no.3, pp.167-173, 2013-03-01

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テレビゲームをプレイしていて楽しいと思うためには,ゲームのルールや画面表示・操作などのGUIが洗練されていること,コンテンツの豊富さなどとともに,協力・対戦するコンピュータプレイヤ(AI)が知的であることが求められる.このことは囲碁や将棋といった古典的思考ゲームでは特に重要であり,“強いAI”“楽しいAI”のためのさまざまな取り組みがなされている.本稿では,強さという意味では十分な域に達しつつある囲碁・将棋AIの基本的な枠組みの解説ののち,楽しませるために必要な要素技術と,そのためのいくつかのアプローチを紹介する.

著者

Yannan Hu Hideki Hashimoto Shinji Imahori Takeaki Uno Mutsunori Yagiura

出版者

日本オペレーションズ・リサーチ学会

雑誌

日本オペレーションズ・リサーチ学会論文誌 (ISSN:04534514)

巻号頁・発行日

vol.59, no.1, pp.110-129, 2016 (Released:2016-02-02)

参考文献数

17

被引用文献数

2

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This paper focuses on a two-dimensional strip packing problem where a set of arbitrarily shaped rectilinear blocks need be packed into a larger rectangular container without overlap. A rectilinear block is a polygonal block whose interior angles are either 90∘or 270∘. This problem involves many industrial applications, such as VLSI design, timber/glass cutting, and newspaper layout. We generalized a bottom-left and a best-fit algorithms to the rectilinear block packing problem in our previous paper. Based on the analysis of the strength and weakness of these algorithms, we propose a new construction heuristic algorithm called the partition-based best-fit algorithm (PBF algorithm), which takes advantages of both the bottom-left and the best-fit algorithms. The basic idea of the PBF algorithm is that it partitions all the items into groups and then packs the items in a group-by-group manner. The best-fit algorithm is taken as the internal tactics for each group. The proposed algorithm is tested on a series of instances, which are generated from benchmark instances. The computational results show that the proposed algorithm significantly improves the performance of the existing construction heuristic algorithms and is especially effective for the instances having large differences in the sizes of given shapes.