Optimization of Trading Physics Models of Markets  

Oleh:

Ingber, L. ; Mondescu, R. P.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: IEEE Transactions on Neural Networks vol. 12 no. 4 (2001), page 776-790.
Topik: MARKETS; optimization; trading physics models; markets

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II36.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We describe an end - to - end real - time S & P futures trading system. Inner - shell stochastic nonlinear dynamic models are developed, and canonical momenta indicators are derived from a fitted Lagrangian used by outer - shell trading models dependent on these indicators. Recursive and adaptive optimization using adaptive simulated annealing is used for fitting parameters shared across these shells of dynamics and trading models.

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