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This research seeks to design, implement, and test a fully automatic high-frequency trading system that operates on the Chilean stock market, so that it is able to generate positive net returns over time. A system that implements high-frequency trading (HFT) is presented through advanced computer tools as an NP-Complete type problem in which it is necessary to optimize the profitability of stock purchase and sale operations. The research performs individual tests of the algorithms implemented, reviewing the theoretical net return (profitability) that can be applied on the last day, month, and semester of real market data. Finally, the research determines which of the variants of the implemented system performs best, using the net returns as a basis for comparison. The use of particle swarm optimization as an optimization algorithm is shown to be an effective solution since it is able to optimize a set of disparate variables but is bounded to a specific domain, resulting in substantial improvement in the final solution. [ABSTRACT FROM AUTHOR]

The Machine-Part Cell Formation Problem (MPCFP) is a NP-Hard optimization problem that consists in grouping machines and parts in a set of cells, so that each cell can operate independently and the intercell movements are minimized. This problem has largely been tackled in the literature by using different techniques ranging from classic methods such as linear programming to more modern nature-inspired metaheuristics. In this paper, we present an efficient parallel version of the Migrating Birds Optimization metaheuristic for solving the MPCFP. Migrating Birds Optimization is a population metaheuristic based on the V-Flight formation of the migrating birds, which is proven to be an effective formation in energy saving. This approach is enhanced by the smart incorporation of parallel procedures that notably improve performance of the several sorting processes performed by the metaheuristic. We perform computational experiments on 1080 benchmarks resulting from the combination of 90 well-known MPCFP instances with 12 sorting configurations with and without threads. We illustrate promising results where the proposal is able to reach the global optimum in all instances, while the solving time with respect to a nonparallel approach is notably reduced. [ABSTRACT FROM AUTHOR]

Abstract: A Constraint Satisfaction Problem is defined by a set of variables and a set of constraints, each variable has a nonempty domain of possible values. Each constraint involves some subset of the variables and specifies the allowable combinations of values for that subset. A solution of the problem is defined by an assignment of values to some or all of the variables that does not violate any constraints. To solve an instance, a search tree is created and each node in the tree represents a variable of the instance. The order in which the variables are selected for instantiation changes the form of the search tree and affects the cost of finding a solution. In this paper we explore the use of a Choice Function to dynamically select from a set of variable ordering heuristics the one that best matches the current problem state in order to show an acceptable performance over a wide range of instances. The Choice Function is defined as a weighted sum of process indicators expressing the recent improvement produced by the heuristic recently used. The weights are determined by a Particle Swarm Optimization algorithm in a multilevel approach. We report results where our combination of strategies outperforms the use of individual strategies. [Copyright &y& Elsevier]

We solve a novel inventory-locationmodel with a stochastic capacity constraint based on a periodic inventory control (ILM-PR) policy. The ILM-PR policy implies several changes with regard to other previousmodels proposed in the literature, which consider continuous review as their inventory policy. One of these changes is the inclusion of the undershoot concept, which has not been considered in previous ILM models in the literature. Based on ourmodel, we are able to design a distribution network for a two-level supply chain, addressing both warehouse location and customer assignment decisions, whilst taking into consideration several aspects of inventory planning, in particular, evaluating the impact of the inventory control review period on the network configuration and system costs. Because the model is a very hard-to solve combinatorial nonlinear optimisation problem, we implemented two heuristics to solve it, namely, Tabu Search and Particle Swarm Optimisation. These approaches were tested over small instances in which they were able to find the optimal solution in just a few seconds. Because the model is a new one, a set of medium-size instances is provided that can be useful as a benchmark in future research. The heuristics showed a good convergence rate when applied to those instances. The results confirmthat decisionmaking over the inventory control policy has effects on the distribution network design. [ABSTRACT FROM AUTHOR]