Email this article A Stochastic Control Model for the Average Price of Manufacturer Sales on Commodity Exchanges
- Authors: Vavilov S.A.1, Kuznetsov K.S.1
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Affiliations:
- St. Petersburg State University
- Issue: Vol 80, No 6 (2019)
- Pages: 1098-1108
- Section: Control in Social Economic Systems
- URL: https://journals.rcsi.science/0005-1179/article/view/151416
- DOI: https://doi.org/10.1134/S0005117919060080
- ID: 151416
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Abstract
We propose an approach for controlling the weighted average price of a manufacturers sales on commodity exchanges. This problem is highly relevant due to the need for the manufacturer to hedge their profits in case of a sharp drop in market prices. We consider applications of the proposed control to executing trading operations on real commodity exchanges in order to demonstrate its efficiency.
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About the authors
S. A. Vavilov
St. Petersburg State University
Author for correspondence.
Email: savavilov@inbox.ru
Russian Federation, St. Petersburg
K. S. Kuznetsov
St. Petersburg State University
Author for correspondence.
Email: kostas.92@mail.ru
Russian Federation, St. Petersburg
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