Related papers: Parameters Optimization of Pair Trading Algorithm
In this study, we explore the synergy of deep learning and financial market applications, focusing on pair trading. This market-neutral strategy is integral to quantitative finance and is apt for advanced deep-learning techniques. A pivotal…
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…
In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all c\`agl\`ad and adapted trading strategies. It is characterized as the unique…
In many areas of industry and society, e.g., energy, healthcare, logistics, agents collect vast amounts of data that they deem proprietary. These data owners extract predictive information of varying quality and relevance from data…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
We propose a Genetic Programming architecture for the generation of foreign exchange trading strategies. The system's principal features are the evolution of free-form strategies which do not rely on any prior models and the utilization of…
A central challenge in mechanism design is to develop truthful trade mechanisms that maximize the expected gains-from-trade (GFT) in two-sided markets with strategic agents. As achieving the full GFT is generally impossible, much of the…
A principled approach to cyclicality and intransitivity in paired comparison data is developed. The proposed methodology enables more precise estimation of the underlying preference profile and facilitates the identification of all cyclic…
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic…
This paper is about producing a new kind of the pairs which we call it MS-pairs. To produce these pairs, we use an algorithm for dividing a natural number $x$ by two for two arbitrary numbers and consider their related graphs. We present…
The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…
Mean-reverting assets are one of the holy grails of financial markets: if such assets existed, they would provide trivially profitable investment strategies for any investor able to trade them, thanks to the knowledge that such assets…
We propose a new efficient online algorithm to learn the parameters governing the purchasing behavior of a utility maximizing buyer, who responds to prices, in a repeated interaction setting. The key feature of our algorithm is that it can…
Cardinality matching is a computational method for finding the largest possible number of matched pairs of exposed and unexposed individuals from an observational dataset, with specified patterns of baseline characteristics that represent a…
Nervous systems, like any organismal structure, have been shaped by evolutionary processes to increase fitness. The resulting neural 'bauplan' has to account for multiple objectives simultaneously, including computational function as well…
In multi-objective optimization, a single decision vector must balance the trade-offs between many objectives. Solutions achieving an optimal trade-off are said to be Pareto optimal: these are decision vectors for which improving any one…
We examine two types of binary betting markets, whose primary goal is for profit (such as sports gambling) or to gain information (such as prediction markets). We articulate the interplay between belief and price-setting to analyse both…
We solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution. This distribution is non trivial and has an option like, asymmetric structure. The degree of asymmetry…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…