We present a novel technique for cardinality-constrained index-tracking, a common task in the financial industry. Our approach is based on market graph models. We model our reference indices as market graphs and express the index-tracking problem as a quadratic K-medoids clustering problem. We...

This article presents the Exponential-Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of flexibility to fit moderate costs with high...

The purpose of this study is to find the most important variables that represent the future projections of the Bank of International Settlements' (BIS) capital adequacy ratio, which is the index of financial soundness in a bank as a comprehensive and important measure of capital adequacy. This...

Consider the problem faced by a decision maker (DM) who must select the order in which to evaluate the unknown alternatives displayed by an online search engine. DMs do not know the distribution of the realizations that result from clicking on an alternative and must therefore account for the...

Automatic design of stochastic local search algorithms has been shown to be very effective in generating algorithms for the permutation flowshop problem for the most studied objectives including makespan, flowtime and total tardiness. The automatic design system uses a configuration tool to...

We investigate collusive pricing in laboratory markets when human players interact with an algorithm. We compare the degree of (tacit) collusion when exclusively humans interact to the case of one firm in the market delegating its decisions to an algorithm. We further vary whether participants...