An expert decision-support system for option-based investment strategies

Abstract

OTAS is an experimental decision-support system for options trading written in the constraint logic programming language CLP(R). The management of option-based investment strategies is based on a mixture of complex mathematical models and heuristics and requires both extensive processing of numeric and non-numeric information. Furthermore, fluctuating market conditions and changing investor's profiles which are also key factors in building successful strategies need to be dynamically integrated with other non-volatile information. In this paper, we show how these problems are addressed using the expressive and computational power of constraints in the CLP framework, resulting, in OTAS, in a level of flexibility not found in existing options analysis systems. © 1990.