Pub. online:1 Jan 2019Type:Research ArticleOpen Access
Volume 30, Issue 1 (2019), pp. 73–90
Integration of algorithms of investment theory and artificial intelligence allows one to create a support system for investors in exchange markets based on the ensemble of long-short-term-memory (LSTM) based recurrent neural networks (RNN). The proposed support system contains five stages: preparation of historical data, prediction by an ensemble of LSTM RNNs, assessment of prediction distributions, investment portfolio formation and verification. The prediction process outputs a multi-modal distribution, which provides useful information for investors. The research compares four different strategies based on a combination of distribution forecasting models. The high-low strategy helps decision-makers in exchange markets to recognize signals of transactions and fix limits for expectations. A combination of high-low-daily-weekly predictions helps investors to make daily transactions with knowing distribution of exchange rates during the week. The shift in time of five hours between London and New York inspired us to create a UK-NY strategy, which allows investors to recognize the signals of the market in a very short time. The joined high-low-UK-NY strategy increases the possibility of recognizing the signals of transactions in a very short time and of fixing the limits for day trading. So, this support system for investors is verified as a profitable tool for speculators in the relatively risky currency market.
Volume 17, Issue 2 (2006), pp. 207–224
The paper describes the development and performance of parallel algorithms for the discrete element method (DEM) software. Spatial domain decomposition strategy and message passing inter-processor communication have been implemented in the DEMMAT code for simulation of visco-elastic frictional granular media. The novel algorithm combining link-cells for contact detection, the static domain decomposition for parallelization and MPI data transfer for processors exchanging particles has been developed for distributed memory PC clusters. The parallel software DEMMAT_PAR has been applied to model compacting of spherical particles in the rectangular box. Two benchmark problems with different numbers of particles have been solved in order to measure parallel efficiency of the code. The inter-processor communication has been examined in order to improve domain decomposition topology and to achieve better load balancing. The speed-up equal to 11 has been obtained on 16 processors. The parallel performance study has been performed on the PC cluster VILKAS of Vilnius Gediminas Technical University, Lithuania.