DocumentCode
1511579
Title
Optimization of trading physics models of markets
Author
Ingber, Lester ; Mondescu, Radu Paul
Author_Institution
Lester Ingber Res., Chicago, IL, USA
Volume
12
Issue
4
fYear
2001
fDate
7/1/2001 12:00:00 AM
Firstpage
776
Lastpage
790
Abstract
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
Keywords
commodity trading; simulated annealing; statistical analysis; stochastic processes; adaptive simulated annealing; canonical momenta indicators; financial market; futures trading system; recursive optimization; statistical mechanics; stochastic nonlinear dynamic models; Artificial intelligence; Context modeling; Genetic algorithms; Lagrangian functions; Mathematical model; Nonlinear dynamical systems; Physics; Power system modeling; Simulated annealing; Stochastic processes;
fLanguage
English
Journal_Title
Neural Networks, IEEE Transactions on
Publisher
ieee
ISSN
1045-9227
Type
jour
DOI
10.1109/72.935091
Filename
935091
Link To Document