Dmytro Matsypura

• Doctor of Philosophy
• The University of Sydney

This Python Language Companion is drafted as a supplement to the book Introduction to Applied Linear Algebra: Vectors, Matrices, and Least Squares written by Stephen Boyd and Lieven Vandenberghe (referred to here as VMLS). It is mostly a transliteration of the Julia Companion (by Stephen Boyd and Lieven Vandenberghe) to Python. We would like to tha...

Assortment optimisation is a critical decision that is regularly made by retailers. The decision involves a trade-off between offering a larger assortment of products but smaller inventories of each product and offering a smaller number of varieties with more inventory of each product. We propose a robust, distribution-free formulation of the assor...

The graph diameter, which is defined as the length of the longest shortest path in a graph, is often used to quantify graph communication properties. In particular, the graph diameter provides an intuitive measure of the worst-case pairwise distance. However, in many practical settings, where vertices can either fail or be overloaded or can be dest...

Assortment optimisation is a critical decision that is regularly made by retailers. The decision involves a trade-off between offering a larger assortment of products but smaller inventories of each product and offering a smaller number of varieties with more inventory of each product. We propose a robust, distribution-free formulation of the assor...

Combinations of point forecasts from expert forecasters are known to frequently outperform individual forecasts. It is also well documented that combination by simple averaging very often has performance superior to that of more sophisticated combinations. This empirical fact is referred to as the ‘forecast combination puzzle’ in the literature. In...

Wildfires are a common phenomenon on most continents. They have occurred for an estimated 60 million years and are part of a regular climatic cycle. Nevertheless, wildfires represent a real and continuing problem that can have a major impact on people, wildlife and the environment. The intensity and severity of wildfires can be reduced through fuel...

Combinations of point forecasts from expert forecasters are known to frequently outperform individual forecasts. It is also well documented that combination by simple averaging very often has performance superior to that of more sophisticated combinations. This empirical fact is referred to as the 'forecast combination puzzle' in the literature. In...

Wildfires are a naturally occurring phenomenon in many places of the world. While they perform a number of important ecological functions, the proximity of human activities to forest landscapes requires a measure of control/preparedness to address safety concerns and mitigate damage. An important technique utilized by forest managers is that of wil...

We formulate the problem of finding and estimating the optimal hierarchical Archimedean copula as an amended shortest path problem. The standard network flow problem is amended by certain constraints specific to copulas, which limit scalability of the problem. However, we show in dimensions as high as twenty that the new approach dominates the alte...

We study an incremental network design problem, where in each time period of the planning horizon an arc can be added to the network and a maximum flow problem is solved, and where the objective is to maximize the cumulative flow over the entire planning horizon. After presenting two mixed integer programming (MIP) formulations for this NP-complete...

This paper investigates the effects of a change in the margin rules of the U.S. stock market. These rules determine how much investors can borrow to leverage their investments. Since the 1929 stock market crash, margin loans have been tightly regulated by the Securities and Exchange Act Regulation T. Between 2005 and 2008, the Securities and Exchan...

Margining is a crucial brokerage operation. In application to option portfolios it becomes exceptionally challenging because margin offsets with options require solving a highly intractable integer program. All these offsets are based on option spreads with a maximum of four legs. Although option spreads with more than four legs can be traced in re...

In July 2005 the US stock market started using the risk-based approach to margining customer accounts gradually excluding from margining practice the strategy-based approach, which has been used for more than four decades. In this paper we argue that this change has a direct link to the stock market crash of October 2008. We also show that among th...

Having been constructed as trading strategies, option spreads are also used in margin calculations for offsetting positions in options. All option spreads that appear in trading and margining practice have two, three or four legs. It is well-known that the option spreads with three and four legs are combinations of two option spreads with two legs,...

As shown in [23], the problem of margining option portfolios where option spreads with two legs are used for offsetting can be solved in polynomial time by network flow algorithms. However, spreads with only two legs do not provide sufficient accuracy in measuring risk. Therefore, margining practice also uses spreads with three and four legs. A pol...

The strategy-based approach to portfolio margining has been used for margining customer accounts for more than four decades. The risk-based approach was proposed in the mid eighties for margining some inventory accounts of brokers but permitted for margining customer accounts only in 2005. This paper presents a computational experiment with the str...

This paper presents preliminary results of a computational experiment with the strategy-based approach and the risk-based approach to portfolio margining with the purpose to clarify which one yields lower margin requirements under different scenarios. There exists a widespread opinion that the risk-based approach is always a winner in this competit...

In December 2005, the U.S. Securities and Exchange Commission approved margin rules for complex option spreads with 5, 6, 7, 8, 9, 10 and 12 legs. Only option spreads with 2, 3 or 4 legs were recognized before. Taking advantage of option spreads with a large number of legs substantially reduces margin requirements and, at the same time, adequately...

In this paper we develop a framework for the modeling and analysis of supply chain networks with corporate social responsibility through integrated environmental decision-making. We consider the multicriteria decision-making behaviour of the various decision-makers (manufacturers, retailers, and consumers), which includes the maximization of net re...

The electric power industry in the United States and in other countries is undergoing profound regulatory and operational changes. The underlying rationale behind these transformations is to move once highly monopolized vertically-integrated industry from a centralized operation approach to a competitive one. The emerging competitive markets and an...

A supply chain network perspective for electric power production, supply, transmission, and consumption is developed. The model is sufficiently general to handle the behavior of the various decision-makers, who operate in a decentralized manner and include power generators, power suppliers, the transmitters, as well as the consumers associated with...

Purpose – Seeks to understand how differences in national cultures impact on the understanding and meaning of the concept of self-leadership and its application. Design/methodology/approach – First, research at the intersection of culture and leadership and Hofstede's culture framework are reviewed. Then the main components of self-leadership theor...

In this dissertation, I develop a new theoretical framework for the modeling, pricing analysis, and computation of solutions to electric power supply chains with power generators, suppliers, transmission service providers, and the inclusion of consumer demands. In particular, I advocate the application of finite-dimensional variational inequality t...

In this paper, we consider the dynamics of a global supply chain network economy in the presence of risk and uncertainty in which distinct speeds of adjustment are included. We assume three tiers of decision-makers: manufacturers, distributors, and retailers, who acquire the product in order to satisfy the demand at the demand markets. The manufact...

Over the past several decades, the electric power industry in the US and in several other countries has been undergoing a fundamental transformation due to deregulation. This transfor-mation has been accompanied by an increase in the number of market participants and changes to the electricity flow patterns with system reliability being increasingl...

In this paper, we develop a supply chain network perspective for electric power production, supply, transmission, and consumption. We consider the behavior of the various decision-makers, who operate in a decentralized manner and include power generators, power suppliers, the transmitters, as well as the consumers associated with the demand markets...

In this paper, we develop a framework for the modelling, analysis, and computation of solutions to global supply chains. We consider three tiers of decision-makers: manufacturers, who may be located in the same or in different countries; intermediaries, in the form of retailers, who may be either physical or virtual, as in the case of electronic co...

The electric power industry in the United States and in other countries is undergoing profound regulatory and operational changes. The underlying rationale behind these transforma- tions is to move once highly monopolized vertically-integrated industry from a centralized operation approach to a competitive one. The emerging competitive markets and...