T. Huynh and C. Lassez. A CLP(R) options trading analysis system. In Kowalski and Bowen [KB88], pages 59--69.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....shows how to do metaprogramming in CLP(R) and manipulate constraint logic programs. Optimisation of CLP(R) programs and compiled code has been tackled in [JMM91] CLP(R) has been used so far in many applications which include electrical engineering problems [HMS87] options trading analysis [HL88] and molecular biology [Yap91] The operational model of CLP(R) is based mainly on depth first search with naive backtracking. However, the scheme allows for active use of the constraints. The following example is a modification of the one used previously to explain the programming paradigms of ....

....analysis for linear inequalities. However, in an actual implementation equalities must be handled as such. Transforming equalities to pairs of inequalities doubles the amount of rows in the tableau. This in conjunction with the fact that equalities arise in many applications (see for example [HMS87, HL88, PJSY92a, Yap91]) would slow down the execution of CLP( programs as well as increase their memory demands. In this section the requirement that each equality must be translated into two inequalities is relaxed and the failure analysis method is extended to handle linear equalities directly. Handling of ....

T. Huynh and C. Lassez. A CLP(R) options trading analysis system. In Kowalski and Bowen [KB88], pages 59--69.

....Stock Price Stock Price Stock Price Buy a Call Sell a Call Butterfly c x c x x y z Figure 5. Payoff Diagrams The following presentation is due to Yap [266] based in his work using CLP(R) This material appeared in [157] and the subsequently implemented OTAS system is described in [122]. There are several main reasons why CLP, and CLP(R) in particular, are suitable for reasoning about option trading: there are complex trading strategies used which are usually formulated as rules; there is a combinatorial aspect to the problem as there are many ways of combining options; a ....

.... 60; Payoff = S 74.3, 60 = S, S 80; Payoff = 5.7, 80 = S. The above is just a brief overview of the core ideas behind the work in [157] Amongst the important aspects that are omitted are consideration of option pricing models, and details of implementing the decision support system OTAS [122]. As in the circuit modelling application described above, the advantages of using CLP(R) here are that the program is concise and that the query language is expressive. 12.3. Temporal Reasoning It is natural and common to model time as an arithmetic domain, and indeed we do this in everyday ....

T. Huynh & C. Lassez, A CLP(R) Options Trading Analysis System, Proceedings 5th International Conference on Logic Programming, 59--69, 1988.

....HCLP would first return the answer A=5, and on backtracking A=1, since these answers arise from different choices of the rule for g, even though the strong prefer X 3 constraint is satisfied for one answer and not the other. The problem of programming an options trading analysis system (OTAS) [15] provides some realistic examples of where it would be useful to compare solutions arising from alternate choices of rules. If this were supported, HCLP would have some clear advantages as a language for implementing such systems. Option based investment strategies can be tailored to fit the ....

T. Huynh and C. Lassez. A CLP(!) Options Trading Analysis System. In Proceedings of 5th International Conference and Symposium of Logic Programming, pages 59--69, 1988.

....successful practical applications solving difficult and commercially important real world problems. Examples include scheduling for factories and for computer instruction sets; financial applications such as options and portfolio analysis; and modelling water usage, DNA, and electrical circuits [3, 10, 23, 24, 38, 39, 64, 72, 78, 79, 86]. Many problems which previously appeared local to a particular application domain, and which were therefore solved in an ad hoc manner, can now be seen as instances of constraint problems. For example, AI applications as disparate as machine vision and belief revision can now be considered in ....

Tien Huynh and Catherine Lassez. A CLP(R) Options Trading Analysis System. In Robert A. Kowalski and Kenneth A. Bowen, editors, JICSLP'88: Proceedings 5th International Conference and Symposium on Logic Programming, pages 59--69, Seattle, Washington, U.S.A., 1988. MIT Press.

....analysis for linear inequalities. However, in an actual implementation equalities must be handled as such. Transforming equalities to a pair of inequalities doubles the amount of rows in the tableau. This in conjunction with the fact that equalities arise in many applications (see for example [HMS87, HL88, JJY92, Yap91]) would slow down the execution of CLP( programs as well as increase their memory demands. In this section we will relax the requirement that each equality must be translated into two inequalities and extend our failure analysis method to handle linear equalities directly. Handling of equalities ....

T. Huynh and C. Lassez. A CLP(R) options trading analysis system. In Kowalski and Bowen [KB88], pages 59--69.

....a much smaller change to the monthly payment. Worst case metric better and least squares metric better give solutions that are very close (within a dollar) to this one. As a second financial example, consider the use of HCLP(R) for implementing an options trading analysis system such as O.T.A.S. [31]. Option based investment strategies can be tailored to fit the profile of a specific investor and to take into account currently prevailing market conditions. Mathematical models of market behavior define the parameters that are used to express the characteristics of those strategies. Typically ....

T. Huynh and C. Lassez. A CLP(R) Options Trading Analysis System. In Proceedings of the Fifth International Conference and Symposium of Logic Programming, pages 59--69, Seattle, 1988.

....for a better efficiency of the underlying Prolog. It is entirely written in the C language and runs on most existing Unix workstations and includes MS DOS support. Clp(R) has been used to solve various real problems, analysis and synthesis of analog circuits [HMS92] stock option analysis [HL88] or problems from computational biology such as DNA sequencing by restriction site mapping [Yap93] 4.2 Prolog III A. Colmerauer and his team first defined the model of a Prolog with constraints around 1984, as an extension of the Prolog II model. The commercial version of Prolog III has been ....

T. Huynh and C. Lassez. A CLP(R) options trading analysis system. In Robert A. Kowalski and Kenneth A. Bowen, editors, JICSLP'88: Proceedings 5th International Conference and Symposium on Logic Programming, pages 59--69, Seattle, Washington, U.S.A., 1988. MIT Press.

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