Papers by Drago Indjic
SSRN Electronic Journal
The RangL project hosted by The Alan Turing Institute aims to encourage the wider uptake of reinf... more The RangL project hosted by The Alan Turing Institute aims to encourage the wider uptake of reinforcement learning by supporting competitions relating to real-world dynamic decision problems. This article describes the reusable code repository developed by the RangL team and deployed for the 2022 Pathways to Net Zero Challenge, supported by the UK Net Zero Technology Centre. The winning solutions to this particular Challenge seek to optimize the UK's energy transition policy to net zero carbon emissions by 2050. The RangL repository includes an OpenAI Gym reinforcement learning environment and code that supports both submission to, and evaluation in, a remote instance of the open source EvalAI platform as well as all winning learning agent strategies. The repository is an illustrative example of RangL's capability to provide a reusable structure for future challenges.
We aim to identify potential vulnerabilities in investment management and financial trading struc... more We aim to identify potential vulnerabilities in investment management and financial trading structures that malicious agents can exploit. The opportunities for malicious trading have always existed. In the past, threats have been market “directional” but today they can be disguised as market “noise” and distributed. The “anomalies” in market structure can be systematically triggered. We consider the most significant potential threat rising from the prolonged loss of market liquidity leading to forced disruption of trading across many asset markets. We focus on a single specific objective, “the most probable” destabilisation of price discovery that can lead to difficulties in asset valuation, widespread loss of confidence and forced asset redemptions. In extreme, this could evolve to the point of endangering financial stability. Given the vast range of issues, we can only hope to and establish cross-disciplinary links and make a modest contribution to the future research agenda, but ...
The Computer Journal, 2006
We have been using virtually all commonly known R time series packages libraries (such as xts, zo... more We have been using virtually all commonly known R time series packages libraries (such as xts, zoo) to clean and „synchronize‟ the time series in order to provide standard risk reporting and risk limit management functionality, exposing several design flaws and fixing minor bugs (e.g. to.weekly, Return.portfolio) and attempting to develop a new wrapper function specifically addressing hedge fund data sources and features.
Marketing and Smart Technologies, 2022
[1991] Proceedings. Data Compression Conference, 1991
ABSTRACT Summary form only given. Fractal dimension is further used in reconstruction of forecast... more ABSTRACT Summary form only given. Fractal dimension is further used in reconstruction of forecasting data by iterated function system. Due to the generalisation property of artificial neural networks, the proposed method results in significant savings in computational time. The original fractal structure of data is preserved in forecasting
Fuzzy Sets and Systems, 1990
ABSTRACT Fuzzy theory and chaotical dynamics are both facing uncertainty. Prediction of long-term... more ABSTRACT Fuzzy theory and chaotical dynamics are both facing uncertainty. Prediction of long-term behavior of chaotical dynamics is impossible. Modelling of infinite time is often needed in mathematical models of chaotical dynamics, where fractals and Mandelbrot set belong.We describe the results obtained by the use of an algorithm for generating the Mandelbrot set running for finite time. An interpretation is proposed using terms of fuzzy theory.
This paper describes the research and development of a prototype real-time expert system, called ... more This paper describes the research and development of a prototype real-time expert system, called SYSMON, to assist control engineers in monitoring the most important overall aspects and events on the transmission network: in particular, those involving security and economics aspects. The ultimate objective of the SYSMON project is to extend further so as to emulate the monitoring functions of a junior control engineer. The required decision support system should be able to carry out online analyses of the power system state, identify the most important problems, draw these to the attention of the Control Staff and, where necessary, suggest remedial actions. The SYSMON design identifies a number of coordinated expert system modules. These modules will be linked to a coordinating system database from which they receive data and information. The output of the security and economic modules will reach the human-computer interface via an overall system state monitor (OSM) which will integ...
Use of Risk Analysis in Computer-Aided Persuasion, Volume 88, May 2011
We aim to identify potential vulnerabilities in investment management and financial trading struc... more We aim to identify potential vulnerabilities in investment management and financial trading structures that malicious agents can exploit. The opportunities for malicious trading have always existed. In the past, threats have been market “directional” but today they can be disguised as market “noise” and distributed. The “anomalies” in market structure can be systematically triggered.
We consider the most significant potential threat rising from the prolonged loss of market liquidity leading to forced disruption of trading across many asset markets. We focus on a single specific objective, “the most probable” destabilisation of price discovery that can lead to difficulties in asset valuation, widespread loss of confidence and forced asset redemptions. In extreme, this could evolve to the point of endangering financial stability.
Given the vast range of issues, we can only hope to and establish cross-disciplinary links and make a modest contribution to the future research agenda, but an outline of a possible threat that is organisationally structured to mimic bona fide entities where the agents can be disguised as cross-financed “proprietary trading” operations is presented.
What is the best way to construct a portfolio of hedge funds to supplement a portfolio with or wi... more What is the best way to construct a portfolio of hedge funds to supplement a portfolio with or without other alternative investments? Is it possible to optimise strategy mix to improve risk profile?
Teaching Documents by Drago Indjic
Talks by Drago Indjic
Invited lecture at University of Belgrade and Cambridge University, May 2016.
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Papers by Drago Indjic
We consider the most significant potential threat rising from the prolonged loss of market liquidity leading to forced disruption of trading across many asset markets. We focus on a single specific objective, “the most probable” destabilisation of price discovery that can lead to difficulties in asset valuation, widespread loss of confidence and forced asset redemptions. In extreme, this could evolve to the point of endangering financial stability.
Given the vast range of issues, we can only hope to and establish cross-disciplinary links and make a modest contribution to the future research agenda, but an outline of a possible threat that is organisationally structured to mimic bona fide entities where the agents can be disguised as cross-financed “proprietary trading” operations is presented.
Teaching Documents by Drago Indjic
Talks by Drago Indjic
We consider the most significant potential threat rising from the prolonged loss of market liquidity leading to forced disruption of trading across many asset markets. We focus on a single specific objective, “the most probable” destabilisation of price discovery that can lead to difficulties in asset valuation, widespread loss of confidence and forced asset redemptions. In extreme, this could evolve to the point of endangering financial stability.
Given the vast range of issues, we can only hope to and establish cross-disciplinary links and make a modest contribution to the future research agenda, but an outline of a possible threat that is organisationally structured to mimic bona fide entities where the agents can be disguised as cross-financed “proprietary trading” operations is presented.