(This project is reposted since the previous freelancer "disappeared" after the project was awarded to him)
We need to create a stochastic optimization model (also known as optimal stopping problem, stochastic barrier model, dynamic stochastic optimization).
There is a paper that suggest a model for this, which we would like to try out. Due to lack of time we decided to outsource the model building/programming. The project is hence implementation of the theoretical model presented in the paper.
The purpose of the model is to find a distance to place limit orders at, that on average will beat market orders based on a stochastic process. The model can either be programmed in C++ or Matlab - this is your choice. It will eventually be programmed in C++, but Matlab is faster to verify the model with.
Requirements:
- Model correctly implemented as in the paper
- Model generates a stochastic process, controlled by standard parameters such as a mean reversing factor and standard deviation.
- The model can also read a time series from an external files, where we already have estimated the parameters.
Please note that the paper goes through a lot of proofs and lemmas which does not need to be understood, as implementation instructions are explained in the end of the paper. It should be enough with knowledge in stochastic processes on a masters level. Please see the attached paper.
(Note: the budget is set to a maximum of $200. Bids exceeding this will not be considered.)
I am a bachelor of science in computer science, statistics and operations research. please send paper and I would fill more comfortable to tell you that I can do the job.