Computational finance is one of the fields where machine learning and data mining have found in recent years a large application. Neverthless, there are still many open issues regarding the predictability of the stock market, and the possibility to build an automatic intelligent trader able to make forecasts on stock prices, and to develop a profitable trading strategy. In this paper, we propos...

In this paper, we study a model incorporating the retail trader's reluctance to sell into losses. We show that in this setup the informed trader always buys the asset when he receives a favorable signal. However, when the informed trader receives an unfavorable signal, he may not always sell the asset if the signal is moderately bad and the retail trader is reluctant to realize losses. Hence th...

The Reference Model for Open Distributed Processing (RM–ODP) defines an architecture which allows heterogeneous software components to interact, where entities in the system are Objects. In RM–ODP, entire applications may be considered to be Objects. In order to allow dynamic location of services/resources, a Trading function has been defined which is performed by a Trader instance. In this pap...

Does Noise Create the Size and Value Effects? Black (1986) and Summers (1986) suggest that the price of a stock can deviate from its intrinsic value by a random noise. In this paper, we show that a stock with such a noise has a higher expected return when its market capitalization or price-dividend ratio is low, because a low market capitalization or price-dividend ratio is a signal that the no...

An Object-Z formal speciication of the ODP Trader is presented which concisely captures the hierarchical context structure, the distribution of information and the communication aspects of the Trader. Particular use is made of generic classes, class inheritance and object aggregation (i.e. the instantiation of collections of similar objects) to give a structured speciication that can be readily...

In a nite-trader version of the Diamond-Dybvig (1983) model, the symmetric, ex-ante e cient allocation is implementable by a direct mechanism (i.e., each trader announces the type of his own ex-post preference) in which truthful revelation is the strictly dominant strategy for each trader. When the model is modi ed by formalizing the sequential-service constraint (cf. Wallace, 1988), the truth-...

sense that they are mathematical (logical) projections of it. Like the other trading instruments I have described, then, derivatives and futures options are conflations of representation and exchange, for the representations of time and risk implicit in these trades create a purely notional trading environment whose only existence is electronic. Nevertheless, these electronic trades can have ve...

Market traders trade gold, and Bitcoin is aim to maximize their return. This paper utilizes the grey prediction model explore optimal trading strategy optimize fund allocation based on dynamic programming. In addition, by comparing with other traditional strategies, we discover that can more accurately estimate future prices, enabling trader gain steadily growing returns at a low-risk level.