search query: @keyword integer linear programming / total: 2
reference: 2 / 2
« previous | next »
Author:Nyholm, Teemu
Title:Arvopaperiselvityksen optimointialgoritmi
Optimization algorithm for securities settlement
Publication type:Master's thesis
Publication year:2004
Pages:119      Language:   fin
Department/School:Teknillisen fysiikan ja matematiikan osasto
Main subject:Sovellettu matematiikka   (Mat-2)
Supervisor:Salo, Ahti
Instructor:Bister, Tero
OEVS:
Electronic archive copy is available via Aalto Thesis Database.
Instructions

Reading digital theses in the closed network of the Aalto University Harald Herlin Learning Centre

In the closed network of Learning Centre you can read digital and digitized theses not available in the open network.

The Learning Centre contact details and opening hours: https://learningcentre.aalto.fi/en/harald-herlin-learning-centre/

You can read theses on the Learning Centre customer computers, which are available on all floors.

Logging on to the customer computers

  • Aalto University staff members log on to the customer computer using the Aalto username and password.
  • Other customers log on using a shared username and password.

Opening a thesis

  • On the desktop of the customer computers, you will find an icon titled:

    Aalto Thesis Database

  • Click on the icon to search for and open the thesis you are looking for from Aaltodoc database. You can find the thesis file by clicking the link on the OEV or OEVS field.

Reading the thesis

  • You can either print the thesis or read it on the customer computer screen.
  • You cannot save the thesis file on a flash drive or email it.
  • You cannot copy text or images from the file.
  • You cannot edit the file.

Printing the thesis

  • You can print the thesis for your personal study or research use.
  • Aalto University students and staff members may print black-and-white prints on the PrintingPoint devices when using the computer with personal Aalto username and password. Color printing is possible using the printer u90203-psc3, which is located near the customer service. Color printing is subject to a charge to Aalto University students and staff members.
  • Other customers can use the printer u90203-psc3. All printing is subject to a charge to non-University members.
Location:P1 Ark TF80     | Archive
Keywords:securities settlement system
settlement algorithm
integer linear programming
arvopapereiden selvitysjärjestelmä
selvitysalgoritmi
kokonaislukuoptimointi
Abstract (eng): The objective of this Master's thesis is to define an optimizing settlement algorithm for a net settlement process of the Helsinki Exchange securities settlement system -HEX Clear.
The net settlement process is a designated time net settlement (DNS) procedure which implements the main settlement functionality of HEX Clear.
In case of shortages in the securities or cash accounts, the net settlement process tries to maximize the total amount of transferred securities.
The phase of the process which implements the actual choice of settled and not settled trades is called the settlement algorithm.

A detailed mathematical model for the settlement algorithm is presented.
This model shows that the settlement algorithm can be formulated as a mixed integer linear programming problem.
However, results from the theory of computational complexity implies that exact integer programming algorithms cannot be meaningfully applied to the settlement algorithm.

Instead a computationally efficient heuristic settlement algorithm is designed and implemented.
Different variants of heuristic settlement algorithms are analysed qualitatively through methods of algorithm analysis and tested with actual trading data.
The results of analysis are evaluated against present design and evaluation criteria.

The settlement algorithm in the HEXClear settlement system released in November 2003 was implemented according to the specification presented in this Master's thesis.
Abstract (fin): Diplomityön tavoitteena on määritellä Helsingin pörssin HEXClear-osakeselvitysjärjestelmän nettoselvitysprosessin optimoivan selvitysalgoritmin toiminnallisuus.
Nettoselvitysprosessi toteuttaa HEXClear-selvitysjärjestelmän pääasiallisen eräajotyyppisen nettouttavan (DNS) selvitysmenetelmän.
Tilanteessa, jossa kaikkia kauppoja ei voida selvitysjärjestelmässä selvittää joko omaisuus- tai rahapuutteiden takia, nettoselvitysprosessi pyrkii optimoimaan kokonaisuudessaan selviävien kauppojen arvo-osuuksien lukumäärää.
Selvitysprosessin vaihetta, jossa selvitettävien kauppojen valinta suoritetaan, kutsutaan selvitysalgoritmiksi.

Diplomityössä esitetään matemaattinen malli selvitysalgoritmille sekä kuvataan, kuinka algoritmi voidaan muotoilla lineaarisena sekalukuoptimointitehtävänä.
Laskennallisen kompleksisuuden teorian perusteella osoitetaan, että osakeselvitysjärjestelmässä ei voida mielekkäästi soveltaa lineaarisen optimoinnin eksakteja algoritmeja.

Työssä määritellään ja implementoidaan selvitysalgoritmiksi soveltuva laskennallisesti tehokas polynomiaikainen heuristinen algoritmi.
Heuristisen selvitysalgoritmin eri toteutusvaihtoehtoja analysoidaan kvalitatiivisesti algoritmianalyysin keinoin ja niitä testataan todellisella kauppa-aineistolla.
Analyysin tuloksia verrataan selvitysalgoritmin ominaisuuksille asetettuihin suunnittelu- ja valintakriteereihin.

Marraskuussa 2003 tuotantokäyttöön otettuun HEXClear-selvitysjärjestelmään selvitysalgoritmi toteutettiin tässä työssä esitetyn määrittelyn mukaisesti.
ED:2004-07-13
INSSI record number: 25422
+ add basket
« previous | next »
INSSI