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Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques

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  • A. Belenky
  • L. Egorova

Abstract

The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments traded on a stock exchange with the use of linear, integer, and mixed programming techniques. Unlike previous authors publications on the subject, besides standard securities, the present publication considers derivative financial instruments such as futures and options contracts.

Suggested Citation

  • A. Belenky & L. Egorova, 2016. "Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques," Papers 1610.05703, arXiv.org.
    • Handle: RePEc:arx:papers:1610.05703
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    References listed on IDEAS

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    9. Alexander S. Belenky & Lyudmila G. Egorova, 2016. "Optimization of Portfolio Compositions for Small and Medium Price-Taking Traders," Springer Optimization and Its Applications, in: Boris Goldengorin (ed.), Optimization and Its Applications in Control and Data Sciences, pages 51-117, Springer.
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