Applications of combined financial strategies based on universal adaptive forecasting

V. V. V’yugin, V. G. Trunov

Результат исследований: Вклад в журналСтатьярецензирование

2 Цитирования (Scopus)

Аннотация

We consider an online adaptive forecasting algorithm for time series elements. Based on this algorithm, we define a universal strategy for the financial market: such a strategy ensures asymptotically maximal profit compared to any trading strategy where decisions are made based on rules that depend continuously on the input information. To reduce risk, in simultaneous trading of several financial instruments we perform adaptive redistribution of the current capital among them according to the AdaHedge algorithm. We propose variations of a combined game with various algorithmic trading strategies. We give results of numerical experiments based on historical data of the MICEX and BATS (US) trading platforms.

Язык оригиналаАнглийский
Страницы (с-по)1428-1446
Число страниц19
ЖурналAutomation and Remote Control
Том77
Номер выпуска8
DOI
СостояниеОпубликовано - 1 авг. 2016
Опубликовано для внешнего пользованияДа

Fingerprint

Подробные сведения о темах исследования «Applications of combined financial strategies based on universal adaptive forecasting». Вместе они формируют уникальный семантический отпечаток (fingerprint).

Цитировать