Optimization of Trading Physics Models of Markets

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dc.creatorIngber, Lester
dc.creatorMondescu, Radu Paul
dc.date2000-07-22
dc.date.accessioned2026-07-07T12:07:27Z
dc.date.available2026-07-07T12:07:27Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/physics/0007075
dc.identifierhttp://arxiv.org/abs/physics/0007075
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208977
dc.subjectComputational Physics
dc.subjectStatistical Mechanics
dc.subjectComputational Engineering, Finance, and Science
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleOptimization of Trading Physics Models of Markets
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