No 5 (2024)
Surveys
Analysis of Medium-Term Forecasting Methods for Processes with Structural Shifts in Financial and Commodity Markets
Abstract
Medium-term price forecasting methods for financial and commodity markets are considered. The forecasted processes are nonstationary and nonlinear; they contain structural shifts arising due to systemic changes in the market structure and extreme events affecting the market. The probability of structural shifts grows with increasing the forecasting horizon, so the forecasting problem should be solved considering possible changes in the process of interest on the forecasting horizon. To forecast future changes in the process, it is necessary to expand the information field of the forecast, i.e., include expert judgments and the results of qualitative analysis of the processes, e.g., using the methods of fundamental analysis, cognitive analysis, and their implementation algorithms. Medium-term price forecasting in financial and commodity markets is a necessary element in the planning and management of socio-economic and production systems and investment management. This survey addresses the peculiarities of the forecasted processes determining the requirements for medium-term forecasting methods, their implementation, and the selection of necessary information included in the forecast to detect future changes in the process and their causal factors. Models and methods of statistical forecasting, artificial intelligence, and fractal analysis are considered, in addition to those using information from various sources in the forecasting algorithm: expert judgments, news about extreme events, and search engine data. The results of this survey are summarized in the context of medium-term forecasting. Finally, some promising lines of research in this area are outlined.
Control Sciences. 2024;(5):3-24
3-24
Control in Social and Economic Systems
Scenario Modeling of Economic Growth Based on Indicative Planning
Abstract
This paper considers a multilevel indicative planning model for target indicators in the “World–Country–Industries–Resources–Projects” system. The proposed simulation model implements scenario planning. The problem of analyzing and forecasting the country’s target indicators, using the example of Gross Domestic Product at Purchasing Power Parity (GDP at PPP), is formulated for individual industries. The growth rates of individual industries’ GDP and Gross Value Added (GVA) necessary for implementing the target scenario are estimated. Specific efficiency indicators for financial and human resources are determined: labor productivity and capital intensity. The investment in fixed assets and human resources necessary for implementing the target scenario are estimated. As demonstrated, implementing the target scenario of GVA growth requires measures to accelerate labor productivity growth, and the most important industries in this context are identified. The study is based on initial data provided by the World Bank and the Federal State Statistics Service of the Russian Federation.
Control Sciences. 2024;(5):25-41
25-41
The Incentive-Targeting Problem in a Reflexive Game with a Point-Type Awareness Structure
Abstract
This paper considers a collective behavior model of agents under strategic uncertainty and incomplete awareness. Decision-making is modeled by a reflexive game in which participants choose their actions based on a hierarchy of beliefs about the game parameters, beliefs about beliefs, and so on. The study is focused on reflexive games with a point-type awareness structure and the linear best response of players. As shown below, the informational equilibrium in such games is analogous to the Nash equilibrium in a game on a network. Explicit expressions for the equilibrium responses of players are derived and conditions for the existence and uniqueness of equilibria are established. An incentive-targeting problem similar to that in a corresponding game on a network is formulated: a relationship is obtained between the equilibria in the game with common knowledge and the game with incomplete awareness in which the Principal individually reports new incentives to the players.
Control Sciences. 2024;(5):42-48
42-48
Information Technology in Control
Functional Voxel Modeling of a Path Planning Algorithm to a Target Based on R-Functions
Abstract
This paper is devoted to analytical approaches to path planning with obstacles. Two analytical modeling principles are compared for obstacles in a scene: the methods of potentials and R-functional modeling. The functional voxel design principle of complex computational processes is presented on an illustrative example of modeling of the R-function for the union/intersection of the domains of two functions. The fundamentals of arithmetic operations over local geometrical characteristics describing the components of a homogeneous unit vector of a local function are discussed. The denormalization principle of such components is demonstrated for application in arithmetic operations constituting an R-function. The scene is modeled by the layout of concentric objects and a local function describing the target by a funnel surface at a given point. A dynamic formation algorithm is considered for the final local function of the union of the funnel and scene surfaces at a current point. The final local function is used to determine the components of the direction vector of gradient-based motion to the target.
Control Sciences. 2024;(5):49-56
49-56
Control of Moving Objects and Navigation
Building a Defender’s 3D Program Path in an ADT Game with Incomplete A Priori Target Information
Abstract
This paper is devoted to an Attacker–Defender–Target (ADT) game in the 3D space. The Target makes flat circumferential movements with a constant velocity. The Attacker moves uniformly and rectilinearly from an arbitrary point in the upper hemisphere. The distinctive feature of the problem statement is that the Target has an onboard mobile Defender. The Defender is intended to intercept the Attacker’s possible paths dangerous to the Target (in the pointwise meeting sense). This task is complicated since the Target and Defender do not see the Attacker during the movements. They know only the initial bearing; the current bearing and the initial and current distances to the Attacker remain uncertain. For this reason, the Target and Defender are assumed to move along a program path.
Control Sciences. 2024;(5):57-63
57-63