Optimization of Trading Physics Models of Markets

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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 (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading models.

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Computational Physics, Statistical Mechanics, Computational Engineering, Finance, and Science, Data Analysis, Statistics and Probability, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208977

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0007075
 http://arxiv.org/abs/physics/0007075

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arXiv