| Optimizing the Ex-post Trading Profits in a Financial Market |
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| 作者姓名： | KIN LAM（ |
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| 作者单位： | Institute of Applied Mathematics，The Chinese Academy of Sciences，Beijing，China |
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| 摘 要： | 1.Introduction"Buylow,sellhigh"isaninveStmentdicttnnwhichiseasiersaidthandone.Thefacultyinvolvedisthatthefutureisunknownand'highs,and'lOws,arenotwelldefinedunlessthefuturepricesareknobs.However,evenwhenthefUturepricesarecompletelyknown,itmaynotbeeasytodet…
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Optimizing the Ex-post Trading Profitsin a Financial Market |
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| Abstract: | Consider investing in an asset in a financial market. Given the investment returnri in day i, consider the problem of making an investmeat decision di in day i wheredi= 1,0, -1, has the meaning that the investor maintains a long, neutral or shortposition of the asset. The overall invest return over an n day period is given bywhere c=transaction cO8t and d0 = dn 1 = 0 are given. The optinization problemof maximizing IR(d) is considered. Analytic solution of the opthaation porblem isobtained. The solution is shown to be closely related to Alexander's tilter trading ruleand has praCtical implication in applying neural network to generate trading signals ina financial maket. |
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| Keywords: | filter trading rule optimization finance investment neural network training set |
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