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Learning the optimal trading strategy

Fabio Franci, Robert Marschinski and Lorenzo Matassini

Physica A: Statistical Mechanics and its Applications, 2001, vol. 294, issue 1, 213-225

Abstract: Within a realistic model of the stockmarket, we derive the most successful trading strategy. We first identify the agent who has realized the largest percentual gain and then analyze all the operations this trader has performed during the simulation run. We report them in a proper trading space and we extend the model, introducing an additional operator acting with the help of a look up table derived from a clusterization of space. We discuss the robustness of this optimal strategy, its performance and the applicability to real markets.

Keywords: Trading strategy; Econophysics; Artificial financial market (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:294:y:2001:i:1:p:213-225

DOI: 10.1016/S0378-4371(01)00132-7

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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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