Futures Trading: Design of a Strategy
نویسنده
چکیده
The paper describes the futures trading and aims to design the speculators trading strategy. The problem is formulated as the decision making task and such as is solved. The solution of the task leads to complex mathematical problems and the approximations of the decision making is demanded. Two kind of approximation are used in the paper: Monte Carlo for the multi-step prediction and iteration spread in time for the optimization. The solution is applied to the real-market data and the results of the off-line experiments are presented. Keywords—futures trading, decision making
منابع مشابه
Model Calibration and Automated Trading Agent for Euro Futures
We explored the application of a machine learning method, Logitboost, to automatically calibrate a trading model using different versions of the same technical analysis indicators. This approach takes advantage of boosting’s feature selection capability to select an optimal combination of technical indicators and design a new set of trading rules. We tested this approach with high frequency dat...
متن کاملDowntrend Algorithm and Hedging Strategy in Futures Market
The paper investigates downtrend algorithm and trading strategy based on chart pattern recognition and technical analysis in futures market. The proposed chart formation is a pattern with the lowest low in the middle and one higher low on each side. The contribution of this paper lies in the reinforcement of statements about the profitability of momentum trend trading strategies. Practical bene...
متن کاملA New Approach to Estimating the Bellman Function
The paper concerns an approximate dynamic programming. It deals with a class of tasks, where the optimal strategy on a shorter horizon is close to the global optimal strategy. This property leads to a new, specific, design of the Bellman function estimation. The paper introduces the proposed approach and provides an illustrative example performed on the futures trading data.
متن کاملHas Programmed Trading Made Stock Prices More Volatile?
The presumed source of the volatility is a trading strategy called “programmed trading.”2 This strategy, which essentially involves trading on small and shortlived price differences for the same group of stocks in the spot, futures and options markets, is not new. The introduction of stock jnde~futures around 1982 and the application of computer techniques to monitor price differences and trigg...
متن کاملMean-Variance Portfolio Rebalancing with Transaction Costs∗
Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, any trading is to the boundary of the non-trading region, while fixed costs induce trading to th...
متن کامل