| Autor: |
Ingber L; Lester Ingber Research, Chicago, IL 60606, USA. ingber@ingber.com, Mondescu RP |
| Jazyk: |
angličtina |
| Zdroj: |
IEEE transactions on neural networks [IEEE Trans Neural Netw] 2001; Vol. 12 (4), pp. 776-90. |
| DOI: |
10.1109/72.935091 |
| Abstrakt: |
We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and canonical momenta indicators are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using adaptive simulated annealing is used for fitting parameters shared across these shells of dynamics and trading models. |
| Databáze: |
MEDLINE |
| Externí odkaz: |
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