Jan Zeman
Futures Trading Design of a Strategy
2005 - 2009
2009
3
10
International Journal of Economics and Management Engineering
https://publications.waset.org/pdf/9435
https://publications.waset.org/vol/34
World Academy of Science, Engineering and Technology
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 multistep prediction and
iteration spread in time for the optimization. The solution is applied to the realmarket data and the results of the offline experiments are
presented.
Open Science Index 34, 2009