Optimization of Trading Physics Models of Markets
Lester Ingber () and
Radu Paul Mondescu
Papers from arXiv.org
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 (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading models.
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Working Paper: Optimization of trading physics models of markets (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0007075
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