In the paper, we study the investment on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), which is assumed to be tradable. We apply the gene expression programming (GEP) to mining profitable trading strategies in the training phase. GEP is a good tool for evolving formulas since the logical view of its chromosome is a tree structure and the physical implementation is a linear ...

We characterize the top trading cycles mechanism for priority-based allocation of indivisible objects when objects have general capacities. We say that a mechanism is top-priority trading-proof if the top ranked agent at any object can never benefit from obtaining (or trading for) a top priority of any agent assigned a copy of this object. This axiom captures a new way that top priorities are r...

Direct quotations from business leaders can communicate to the wider public the latent state of their organization as well as the beliefs of the organization’s leaders. Candid quotes from business leaders can have dramatic effects upon the share price of their organization. For example, Gerald Ratner in 1991 stated that his company’s products were crap and consequently his company (Ratners) los...

This paper outlines a data mining approach to analysis and prediction of the trend of stock prices. The approach consists of three steps, namely partitioning, analysis and prediction. A modification of the commonly used k-means clustering algorithm is used to partition stock price time series data. After data partition, linear regression is used to analyse the trend within each cluster. The res...

This paper presents a reinforcement learning framework for stock trading systems. Trading system parameters are optimized by Qlearning algorithm and neural networks are adopted for value approximation. In this framework, cooperative multiple agents are used to efficiently integrate global trend prediction and local trading strategy for obtaining better trading performance. Agents communicate wi...

The statistical properties of the total yield are analyzed for an assembly of gamblers in an erratic period on the Budapest stock exchange. Random trading results in a log-normal limit distribution of a surprisingly large width, while the simplest profit realizing strategy narrows down the peak around a positive average value. The effect of transaction costs, the statistics of extremes, and pat...

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...

Volume Weighted Average Price (VWAP) for a stock is total traded value divided by total traded volume. It is a simple quality of execution measurement popular with institutional traders to measure the price impact of trading stock. This paper uses classic mean-variance optimization to develop VWAP strategies that attempt to trade at better than the market VWAP. These strategies exploit expected...