Optimization of Trading Physics Models of Markets
Computational Physics
2008-12-02 v1 Statistical Mechanics
Computational Engineering, Finance, and Science
Data Analysis, Statistics and Probability
Statistical Finance
Abstract
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.
Keywords
Cite
@article{arxiv.physics/0007075,
title = {Optimization of Trading Physics Models of Markets},
author = {Lester Ingber and Radu Paul Mondescu},
journal= {arXiv preprint arXiv:physics/0007075},
year = {2008}
}