Decision support system for position optimization on currency option dealing

Aims to develop an intelligent decision support system for a front option dealing. The system is designed by the use of a CLP (constraint logic programming) framework which easily integrates financial domains into artificial intelligence applications. The authors developed CLP language Triton for the decision support. The system facilitates the support of a dealer with an optimum answer from the candidates of option combinations. In order to realize this intelligent support, they propose the mixed type of optimisation which combines heuristic knowledge into linear programming. The system called Nereid adopts this optimization technique and is running by the of a SUN workstation. Based upon case studies, they show several examples and illustrate the dealer´s evaluation of the system