{"id":"https://openalex.org/W2135672752","doi":"https://doi.org/10.1080/088395101300125716","title":"Efficient methods for computing investment strategies for multi-market commodity trading","display_name":"Efficient methods for computing investment strategies for multi-market commodity trading","publication_year":2001,"publication_date":"2001-05-01","ids":{"openalex":"https://openalex.org/W2135672752","doi":"https://doi.org/10.1080/088395101300125716","mag":"2135672752"},"language":"en","primary_location":{"id":"doi:10.1080/088395101300125716","is_oa":true,"landing_page_url":"https://doi.org/10.1080/088395101300125716","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/088395101300125716?needAccess=true","source":{"id":"https://openalex.org/S125501549","display_name":"Applied Artificial Intelligence","issn_l":"0883-9514","issn":["0883-9514","1087-6545"],"is_oa":false,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Artificial Intelligence","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://www.tandfonline.com/doi/pdf/10.1080/088395101300125716?needAccess=true","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5012461386","display_name":"Milo\u0161 Hauskrecht","orcid":"https://orcid.org/0000-0002-7818-0633"},"institutions":[{"id":"https://openalex.org/I84392919","display_name":"Temple University","ror":"https://ror.org/00kx1jb78","country_code":"US","type":"education","lineage":["https://openalex.org/I84392919"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Milos Hauskrecht","raw_affiliation_strings":["Computer & Information Sciences Department , Temple University , Wachman Hall 313 , 1805 N. Broad Street , Philadelphia , PA 19122 ","Computer and Information Sciences Department , Temple University , Philadelphia , PA USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computer & Information Sciences Department , Temple University , Wachman Hall 313 , 1805 N. Broad Street , Philadelphia , PA 19122 ","institution_ids":["https://openalex.org/I84392919"]},{"raw_affiliation_string":"Computer and Information Sciences Department , Temple University , Philadelphia , PA USA","institution_ids":["https://openalex.org/I84392919"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081273303","display_name":"Luis E. Ortiz","orcid":"https://orcid.org/0000-0003-0330-3069"},"institutions":[{"id":"https://openalex.org/I27804330","display_name":"Brown University","ror":"https://ror.org/05gq02987","country_code":"US","type":"education","lineage":["https://openalex.org/I27804330"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Luis Ortiz","raw_affiliation_strings":["Computer Science Department , Brown University , Providence , RI"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computer Science Department , Brown University , Providence , RI","institution_ids":["https://openalex.org/I27804330"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081080355","display_name":"Ioannis Tsochantaridis","orcid":null},"institutions":[{"id":"https://openalex.org/I27804330","display_name":"Brown University","ror":"https://ror.org/05gq02987","country_code":"US","type":"education","lineage":["https://openalex.org/I27804330"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ioannis Tsochantaridis","raw_affiliation_strings":["Computer Science Department , Brown University , Providence , RI"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computer Science Department , Brown University , Providence , RI","institution_ids":["https://openalex.org/I27804330"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5028869858","display_name":"Eli Upfal","orcid":"https://orcid.org/0000-0002-9321-9460"},"institutions":[{"id":"https://openalex.org/I27804330","display_name":"Brown University","ror":"https://ror.org/05gq02987","country_code":"US","type":"education","lineage":["https://openalex.org/I27804330"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Eli Upfal","raw_affiliation_strings":["Computer Science Department , Brown University , Providence , RI"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computer Science Department , Brown University , Providence , RI","institution_ids":["https://openalex.org/I27804330"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":2195,"currency":"USD","value_usd":2195},"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.1136305,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"15","issue":"5","first_page":"429","last_page":"452"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10791","display_name":"Advanced Control Systems Optimization","score":0.9948999881744385,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10791","display_name":"Advanced Control Systems Optimization","score":0.9948999881744385,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11053","display_name":"Process Optimization and Integration","score":0.982200026512146,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10462","display_name":"Reinforcement Learning in Robotics","score":0.9814000129699707,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7128015756607056},{"id":"https://openalex.org/keywords/commodity","display_name":"Commodity","score":0.6727103590965271},{"id":"https://openalex.org/keywords/markov-decision-process","display_name":"Markov decision process","score":0.6062776446342468},{"id":"https://openalex.org/keywords/work","display_name":"Work (physics)","score":0.5080723762512207},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5057494640350342},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5026535987854004},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.41794922947883606},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.4156549572944641},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.41375288367271423},{"id":"https://openalex.org/keywords/operations-research","display_name":"Operations research","score":0.37471699714660645},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3484364151954651},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.3372623920440674},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.3274347186088562},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.26606258749961853},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.23704379796981812},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15747174620628357},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.08429205417633057}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7128015756607056},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.6727103590965271},{"id":"https://openalex.org/C106189395","wikidata":"https://www.wikidata.org/wiki/Q176789","display_name":"Markov decision process","level":3,"score":0.6062776446342468},{"id":"https://openalex.org/C18762648","wikidata":"https://www.wikidata.org/wiki/Q42213","display_name":"Work (physics)","level":2,"score":0.5080723762512207},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5057494640350342},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5026535987854004},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.41794922947883606},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4156549572944641},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.41375288367271423},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.37471699714660645},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3484364151954651},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.3372623920440674},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3274347186088562},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.26606258749961853},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.23704379796981812},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15747174620628357},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.08429205417633057},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1080/088395101300125716","is_oa":true,"landing_page_url":"https://doi.org/10.1080/088395101300125716","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/088395101300125716?needAccess=true","source":{"id":"https://openalex.org/S125501549","display_name":"Applied Artificial Intelligence","issn_l":"0883-9514","issn":["0883-9514","1087-6545"],"is_oa":false,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Artificial Intelligence","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.28.6621","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.28.6621","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.cs.brown.edu/people/eli/papers/AAI01.ps","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.61.3418","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.61.3418","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.cs.brown.edu/research/pubs/pdfs/2001/Hauskrecht-2001-EMC.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.89.4035","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.89.4035","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.cs.pitt.edu/~milos/research/AppliedAI-2001.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.1080/088395101300125716","is_oa":true,"landing_page_url":"https://doi.org/10.1080/088395101300125716","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/088395101300125716?needAccess=true","source":{"id":"https://openalex.org/S125501549","display_name":"Applied Artificial Intelligence","issn_l":"0883-9514","issn":["0883-9514","1087-6545"],"is_oa":false,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Artificial Intelligence","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.4300000071525574,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2135672752.pdf","grobid_xml":"https://content.openalex.org/works/W2135672752.grobid-xml"},"referenced_works_count":21,"referenced_works":["https://openalex.org/W141456974","https://openalex.org/W418523852","https://openalex.org/W1516216243","https://openalex.org/W1631187438","https://openalex.org/W1650504995","https://openalex.org/W1688218840","https://openalex.org/W1787213081","https://openalex.org/W1987681749","https://openalex.org/W1995503011","https://openalex.org/W2028145673","https://openalex.org/W2033697467","https://openalex.org/W2053913299","https://openalex.org/W2061504687","https://openalex.org/W2065704444","https://openalex.org/W2088413745","https://openalex.org/W2114958204","https://openalex.org/W2119567691","https://openalex.org/W2159307101","https://openalex.org/W2168560639","https://openalex.org/W2341171179","https://openalex.org/W2798766386"],"related_works":["https://openalex.org/W2372919335","https://openalex.org/W3200593740","https://openalex.org/W2354030279","https://openalex.org/W3122821197","https://openalex.org/W1989012530","https://openalex.org/W4213214852","https://openalex.org/W2181358592","https://openalex.org/W187740018","https://openalex.org/W2162286586","https://openalex.org/W4255368532"],"abstract_inverted_index":{"The":[0],"focus":[1],"of":[2,8,151],"this":[3,123],"work":[4,124],"is":[5,133,146],"the":[6,129],"computation":[7],"efficient":[9,120,139],"strategies":[10,145],"for":[11,127,142,148],"commodity":[12,94],"trading":[13,44,131,154],"in":[14,26,39,46,58,111],"a":[15,43,76,105,114,125,149],"multimarket":[16,130],"environment.":[17],"In":[18,122],"today's":[19],"\"global":[20],"economy\"":[21],"commodities":[22],"are":[23],"often":[24],"bought":[25],"one":[27,47],"location":[28,48],"and":[29,63,66,69,135,162],"then":[30],"sold":[31],"(right":[32],"away,":[33],"or":[34],"after":[35],"some":[36,84],"storage":[37,68],"period)":[38],"different":[40],"markets.":[41],"Thus,":[42],"decision":[45,107],"must":[49],"be":[50,102],"based":[51],"on":[52,64,86,93],"expectations":[53],"about":[54],"future":[55,67],"price":[56,95],"curves":[57],"all":[59],"other":[60],"relevant":[61],"markets,":[62],"current":[65],"transportation":[70],"costs.":[71],"Investors":[72],"try":[73],"to":[74,119,137],"compute":[75],"strategy":[77,100],"that":[78],"maximizes":[79],"expected":[80],"return,":[81],"usually":[82],"with":[83],"limitations":[85],"assumed":[87],"risk.":[88],"With":[89],"standard":[90],"stochastic":[91],"assumptions":[92],"fluctuations,":[96],"computing":[97,143],"an":[98],"optimal":[99,144],"can":[101],"modeled":[103],"as":[104],"Markov":[106],"process":[108],"(MDP).":[109],"However,":[110],"general,":[112],"such":[113],"formulation":[115],"does":[116],"not":[117],"lead":[118],"algorithms.":[121],"model":[126],"representing":[128],"problem":[132],"proposed":[134],"how":[136],"obtain":[138],"structured":[140],"algorithms":[141],"shown":[147],"number":[150],"commonly":[152],"used":[153],"objective":[155],"functions":[156],"(expected":[157],"net":[158],"present":[159],"value,":[160],"mean-variance,":[161],"value":[163],"at":[164],"risk).":[165]},"counts_by_year":[{"year":2012,"cited_by_count":1}],"updated_date":"2026-08-06T08:24:18.245995","created_date":"2025-10-10T00:00:00"}