Related papers: Trading Strategies Generated by Lyapunov Functions

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This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios." I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy)…

Algorithmic trading or Financial robots have been conquering the stock markets with their ability to fathom complex statistical trading strategies. But with the recent development of deep learning technologies, these strategies are becoming…