相关论文: Optimizing Returns Using the Hurst Exponent and Q …

In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by…

We consider learning a trading agent acting on behalf of the treasury of a firm earning revenue in a foreign currency (FC) and incurring expenses in the home currency (HC). The goal of the agent is to maximize the expected HC at the end of…

The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend…

We propose a reinforcement learning strategy to control wind turbine energy generation by actively changing the rotor speed, the rotor yaw angle and the blade pitch angle. A double deep Q-learning with a prioritized experience replay agent…

We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…

Momentum method has been used extensively in optimizers for deep learning. Recent studies show that distributed training through K-step averaging has many nice properties. We propose a momentum method for such model averaging approaches. At…

In statistical modelling the biggest threat is concept drift which makes the model gradually showing deteriorating performance over time. There are state of the art methodologies to detect the impact of concept drift, however general…

In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series…

Recent studies have shown that online portfolio selection strategies that exploit the mean reversion property can achieve excess return from equity markets. This paper empirically investigates the performance of state-of-the-art mean…

This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading…

The training of deep residual neural networks (ResNets) with backpropagation has a memory cost that increases linearly with respect to the depth of the network. A way to circumvent this issue is to use reversible architectures. In this…

This work extends a previous work in regime detection, which allowed trading positions to be profitably adjusted when a new regime was detected, to ex ante prediction of regimes, leading to substantial performance improvements over the…

We study rotation-robust learning for image inputs using Convolutional Model Trees (CMTs) [1], whose split and leaf coefficients can be structured on the image grid and transformed geometrically at deployment time. In a controlled MNIST…

This paper shows how reinforcement learning can be used to derive optimal hedging strategies for derivatives when there are transaction costs. The paper illustrates the approach by showing the difference between using delta hedging and…

Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…

Traditional portfolio management methods can incorporate specific investor preferences but rely on accurate forecasts of asset returns and covariances. Reinforcement learning (RL) methods do not rely on these explicit forecasts and are…

Much research has been done to analyze the stock market. After all, if one can determine a pattern in the chaotic frenzy of transactions, then they could make a hefty profit from capitalizing on these insights. As such, the goal of our…

The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously and…

We use machine learning for designing a medium frequency trading strategy for a portfolio of 5 year and 10 year US Treasury note futures. We formulate this as a classification problem where we predict the weekly direction of movement of the…

Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement…