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Futures Trading: Design of a Strategy
Authors: Jan Zeman
Abstract:The paper describes the futures trading and aims to design the speculators trading strategy. The problem is formulated as the decision making task and such as is solved. The solution of the task leads to complex mathematical problems and the approximations of the decision making is demanded. Two kind of approximation are used in the paper: Monte Carlo for the multi-step prediction and iteration spread in time for the optimization. The solution is applied to the real-market data and the results of the off-line experiments are presented.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1072760Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 968
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