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Efficient Computation of Optimal Trading Strategies
Efficient Computation Optimal Trading Strategies
2010/10/21
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algor...
Evaluating the performance of adapting trading strategies with different memory lengths
Minority game prediction performance
2010/10/29
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with di erent memory lengths using the strategies' past performance...
No Arbitrage Conditions For Simple Trading Strategies
Arbitrage Conditions Trading Strategies
2010/12/13
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the lo...
The Trader's Dilemma: Trading Strategies and Endogenous Pricing in an Illiquid Market
Trading Strategies Endogenous Pricing an Illiquid Market
2010/7/2
We investigate a large trader's trading strategies in a decentralized market, in which all traders are subject to type switching. This trader has pressure to liquidate her position by the end of the h...