Optimization of Trading Physics Models of Markets
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- IEEE transactions on neural networks
دوره 12 4 شماره
صفحات -
تاریخ انتشار 2001