System and method for dynamic path- and state-dependent stochastic control allocation

摘要: The invention includes a system and process that employs contractual bargaining with agent-based computational methods for the dynamic allocation, optimization, pricing of contingent rights obligations between multiple counterparties overlapping interests. processes employ endogenous hierarchy or tiering binding incentive compatible strategies, which may include optimal liquidation policies matched assets liabilities based upon stochastic volume/price schedule related to statistically non-stationary supply/demand elasticities order-flow, as well variations in market microstructure. open distributed control strategic interactions among optimizing agents across random states, wherein actions any one affects joint costs benefits all agents.