We introduce the problem of mining generalized association rules. Given a large database of transactions, where each transaction consists of a set of items, and a taxonomy (is-a hierarchy) on the items, we find associations between items at any level of the taxonomy. For example, given a taxonomy that says that jackets is-a outerwear is-e clothes, we may infer a rule that “people who buy outerw...

A financial market model where agents can only trade using realistic buyand-hold strategies is considered. Minimal assumptions are made on the nature of the asset-price process — in particular, the semimartingale property is not assumed. Via a natural assumption of limited opportunities for unlimited resulting wealth from trading, coined the No-Unbounded-Profit-with-Bounded-Risk (NUPBR) conditi...

ABSTRACT Task interruptions are ubiquitous and can systematically affect decision-making, even when they nondiagnostic thus irrelevant. We report the results of an experiment employing experienced investors as participants to solidify theoretical foundation underpinning impact interruption on investor decision-making. consider joint effects risk/return preferences well effectiveness two theory-...

Keywords: We applied genetic programming with a lambda abstraction module mechanism to learn technical trading rules based on S&P 500 index from 1982 to 2002. The results show strong evidence of excess returns over buy-and-hold after transaction cost. The discovered trading rules can be interpreted easily; each rule uses a combination of one to four widely used technical indicators to make trad...

The paper provides results for the application of boundary feedback control with Zero-Order-Hold (ZOH) to 1-D linear parabolic systems on bounded domains. It is shown that the continuous-time boundary feedback applied in a sample-and-hold fashion guarantees closed-loop exponential stability, provided that the sampling period is sufficiently small. Two different continuous-time feedback designs ...

We propose a deenition of \regular synthesis," more general than those suggested by other authors such as Boltyanskii and Brunovsk y, and an even more general notion of \regular presynthesis." We give a complete proof of the corresponding suuciency theorem, a slightly weaker version of which had been stated in an earlier article, with only a rough outline of the proof. We illustrate the strengt...

A current mode sample and hold circuit has been designed to examine if high-precision current processing is possible simultaneously with a circu it to which current mode and switched-current circuits are applied and which operates at high-speed and with low supply voltage. The results are 1 O-bit accuracy, a 20MHz clock, and a 2 V supply voltage. Clock feedthroug h which degrades the precision ...

At present, more and people are beginning to be interested in the field of investment. This is due growth incomes population, on one hand, development financial technologies, other hand. The problematic situation analyzed this article main known models, algorithms indicators used build trading strategies considered. A conservative strategy based trend proposed. can an alternative popular “buy h...

Abstract In the absence of transaction costs and presence independent returns, a buy-and-hold strategy theoretically generates higher expected returns than fixed-weight strategy, where portfolio weights are regularly readjusted/rebalanced to some initial level. This return comes with volatility. The resulting trade-off leads different rankings Sharpe ratio depending on statistical moments asset...