相关论文: Optimal Stop-Loss and Take-Profit Parameterization…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
This paper extends the existing drawdown modulation control policy to include a novel restart mechanism for trading. It is known that the drawdown modulation policy guarantees the maximum percentage drawdown no larger than a prespecified…
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…
Autonomous control systems use various sensors to decrease the amount of uncertainty under which they operate. While providing partial observation of the current state of the system, sensors require resources such as energy, time and…
Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a mean-reverting price spread. An optimal double stopping problem is formulated to analyze the timing to start and subsequently…
AI and data driven solutions have been applied to different fields and achieved outperforming and promising results. In this research work we apply k-Nearest Neighbours, eXtreme Gradient Boosting and Random Forest classifiers for detecting…
We explore the competitive effects of reaction time of automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. A large body of research…
As agentic systems move into real-world deployments, their decisions increasingly depend on external inputs such as retrieved content, tool outputs, and information provided by other actors. When these inputs can be strategically shaped by…
LLM agents in markets present algorithmic collusion risks. While prior work shows LLM agents reach supracompetitive prices through tacit coordination, existing research focuses on hand-crafted prompts. The emerging paradigm of prompt…
The rapid growth of crypto markets has opened new opportunities for investors, but at the same time exposed them to high volatility. To address the challenge of managing dynamic portfolios in such an environment, this paper presents a…
This article presents a new algorithm which is a modified version of the elite ant system (EAS) algorithm. The new version utilizes an effective criterion for escaping from the local optimum points. In contrast to the classical EAC…
Recently, offline RL algorithms have been proposed that remain adaptive at runtime. For example, the LION algorithm \cite{lion} provides the user with an interface to set the trade-off between behavior cloning and optimality w.r.t. the…
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional…
This paper presents a powerful swarm intelligence meta-heuristic optimization algorithm called Dynamic Cat Swarm Optimization. The formulation is through modifying the existing Cat Swarm Optimization. The original Cat Swarm Optimization…
Researchers have explored the performance of Iterated Prisoner's Dilemma strategies for decades, from the celebrated performance of Tit for Tat to the introduction of the zero-determinant strategies and the use of sophisticated learning…
The report presents with the development and optimisation of an enhanced algorithmic trading strategy through the use of historical S&P 500 market data and earnings call sentiment analysis. The proposed strategy integrates various technical…
LLM-based trading agents are increasingly deployed in real-world financial markets to perform autonomous analysis and execution. However, their reliability and robustness under adversarial or faulty conditions remain largely unexamined,…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
Automatic off-line design is an attractive approach to implementing robot swarms. In this approach, a designer specifies a mission for the swarm, and an optimization process generates suitable control software for the individual robots…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…