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Incorporating Signals into Optimal Trading [article]

Charles-Albert Lehalle, Eyal Neuman
2018 arXiv   pre-print
We incorporate a Markovian signal in the optimal trading framework which was initially proposed by Gatheral, Schied, and Slynko [21] and provide results on the existence and uniqueness of an optimal trading  ...  The inclusion of signals (i.e. short term predictors of price dynamics) in optimal trading is a recent development and it is also the subject of this work.  ...  In this paper we address the question of how to incorporate signals, which are predicting short term price moves, into optimal trading problems.  ... 
arXiv:1704.00847v3 fatcat:u3xfatzhvvfp7dlgrsifvgvkfy

Incorporating signals into optimal trading

Charles-Albert Lehalle, Eyal Neuman
2019 Finance and Stochastics  
We incorporate a Markovian signal in the optimal trading framework which was initially proposed by Gatheral et al. (Math.  ...  Finance 22:445-474, 2012) and provide results on the existence and uniqueness of an optimal trading strategy.  ...  In this paper, we address the question of how to incorporate signals, which are predicting short term price moves, into optimal trading problems.  ... 
doi:10.1007/s00780-019-00382-7 fatcat:j66j7hyctvhlngkvqpvtfe2ngm

Design of a new restoration algorithm based on the constrained mean-square-error criterion

M. E. Zervakis, A. N. Venetsanopoulos
1992 Multidimensional systems and signal processing  
In this paper the joint optimization of different criteria is addressed, as a powerful means of incorporating a priori information in linear image-restoration algorithms.  ...  As an adaptive scheme, the CMSE approach offers the flexibility of applying either linear Wiener filtering or inverse faltering, depending on the local signal activity.  ...  In this paper, the joint optimization of related objective functions is employed as a means of incorporating a trade-off between noise reduction and high-resolution preservation.  ... 
doi:10.1007/bf01940232 fatcat:77txa7x4bne5hedru6wtmgcotu

Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion [article]

Jia-Wen Gu, Mogens Steffensen
2015 arXiv   pre-print
We get explicit trading strategies in the basic model and when random pricing signals are incorporated.  ...  We give adapted optimal strategies under a reconsidered mean-variance subject at any point in time.  ...  We give a optimal strategy under a reconsidered mean-variance subject at any point in time. We also get an explicit trading strategy when random pricing signals are incorporated.  ... 
arXiv:1510.09110v1 fatcat:ovo4dimjanbxbjwsoi5c3dd4p4

Enhancing Time Series Momentum Strategies Using Deep Neural Networks

Bryan Lim, Stefan Zohren, Stephen Roberts
2019 Social Science Research Network  
Standard Trading Rules In traditional financial time-series momentum strategies, the construction of a trading signal X t is typically divided into two steps: (1) estimating future trends based on past  ...  standard supervising learning methods into a profitable trading strategy.  ... 
doi:10.2139/ssrn.3369195 fatcat:yerziadbgre3ze3brop3q3zfma

Evaluating Fund Capacity: Issues and Methods

Michael J. O'Neill, Geoff Warren
2016 Social Science Research Network  
However, it is also the most difficult to apply, taking the analysis into the territory of dynamic optimization under some techniques.  ...  Section 5 also discusses two key inputs into predictive models: a transaction cost model, and an accrual profile for expected returns arising from a signal.  ...  The second source of market impact is that the information on which the fund is trading becomes incorporated into the price as a consequence of trading.  ... 
doi:10.2139/ssrn.2844532 fatcat:4zkoyiqrizhylkdzdw2vkfhx5i

Stock Market Efficiency and the MACD. Evidence from Countries around the World

Gabriel Dan I. Anghel
2015 Procedia Economics and Finance  
The methodology used here is based on trading simulation using an optimized trading rule that is applied on out of sample quotes.  ...  Because the MACD is widely used and there are several software providers that incorporate rule optimization into their trading simulation software, the answer to this question is that they clearly existed  ...  By evaluating the profitability of the MACD, we indirectly evaluate its level of information incorporation into trading prices.  ... 
doi:10.1016/s2212-5671(15)01518-x fatcat:niuxxwmmhbeq3hk7fai7wazgca

Managing Editor's Letter

Francesco A. Fabozzi
2022 The Journal of Financial Data Science  
The organization of companies into groups, referred to as industry classification, has broad applications in finance and economics.  ...  signals inform trades.  ...  to delaying trading on a signal).  ... 
doi:10.3905/jfds.2022.4.2.001 fatcat:7wkyeec5evfgtcvth7xkbt2tka

Multi-objective optimization case study for algorithmic trading strategies in foreign exchange markets

JeongHoe Lee, Navid Sabbaghi
2019 Digital Finance  
Incorporating these research approaches into a genetic algorithm methodology will improve the robustness of results.  ...  Second, design parameters such as trading volume, the amount of historical data, and trading gateways of technical indicators are continuously optimized in real time, in contrast, to traditional trading  ...  To incorporate this wide array of influences into algorithmic trading schemes would be a difficult task.  ... 
doi:10.1007/s42521-019-00016-9 fatcat:uv6fodeyurhihp3rs77ytggc2e

Liquidity Risk and Arbitrage Pricing Theory [chapter]

Umut Çetin, Robert A Jarrow, Philip Protter
2010 Handbook of Quantitative Finance and Risk Management  
We incorporate a Markovian signal in the optimal trading framework which was initially proposed by Gatheral et al. (Math.  ...  Finance 22:445-474, 2012) and provide results on the existence and uniqueness of an optimal trading strategy.  ...  In this paper, we address the question of how to incorporate signals, which are predicting short term price moves, into optimal trading problems.  ... 
doi:10.1007/978-0-387-77117-5_64 fatcat:5i3xcn3k4vdtvbpwtelah444oi

Enhancing Time-Series Momentum Strategies Using Deep Neural Networks

Bryan Lim, Stefan Zohren, Stephen Roberts
2019 The Journal of Financial Data Science  
The model also simultaneously learns both trend estimation and position sizing in a data-driven manner, with networks directly trained by optimizing the Sharpe ratio of the signal.  ...  In this article, the authors introduce deep momentum networksa hybrid approach that injects deep learning-based trading rules into the volatility scaling framework of time-series momentum.  ...  Standard Trading Rules In traditional financial time-series momentum strategies, the construction of a trading signal X t is typically divided into two steps: (1) estimating future trends based on past  ... 
doi:10.3905/jfds.2019.1.015 fatcat:tgb2eqehwbb6ziqbn4qbquqy7u

Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact [article]

Eyal Neuman, Moritz Voß
2022 arXiv   pre-print
As a consequence, the optimal signal-adaptive trading rate trades off exploiting the predictive signal against incurring the transient displacement of the execution price from its unaffected level.  ...  We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal.  ...  Consequently, one of the main challenges in the area of optimal trading with price impact deals with the question of how to incorporate short term predictive signals into a stochastic control framework  ... 
arXiv:2002.09549v3 fatcat:5uz4l2h6p5gjvkpwy2nislza3e

Static vs Adaptive Strategies for Optimal Execution with Signals [article]

Claudio Bellani, Damiano Brigo, Alex Done, Eyal Neuman
2019 arXiv   pre-print
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading.  ...  of the optimal static strategy.  ...  In [7] , an optimal trading framework that incorporates signals (i.e. short term price predictors) into optimal trading problems was established.  ... 
arXiv:1811.11265v2 fatcat:xbpqjjff5rgkxjn3i3gkp3zoau

Strategic trading when some investors receive information before others

Minh T. Vo
2008 International Review of Economics and Finance  
This paper examines trading and price behavior when some investors receive information before others.  ...  They reverse their trading strategy in the second round. The paper also shows that price and price moves are positively correlated with information.  ...  The model characterizes how information is incorporated into price when trades go on.  ... 
doi:10.1016/j.iref.2006.08.005 fatcat:tmwvipgplnfsjp3vhmw5cdjk5i

A flexible Speech Distortion Weighted Multi-channel Wiener Filter for noise reduction in hearing aids

Kim Ngo, Marc Moonen, Soren Holdt Jensen, Jan Wouters
2011 2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)  
A typical SDW-MWF uses a fixed weighting factor to trade-off between noise reduction and speech distortion without taking speech presence or speech absence into account.  ...  Experimental results with hearing aid scenarios demonstrate that the proposed SDW-MWF incorporating the flexible weighting factor improves the signal-to-noise-ratio with lower speech distortion compared  ...  Derivation of SDW-MWF SPP The conditional SPP in (9) and the two-state model in (8) for speech events can be incorporated into the optimization criterion of the SDW-MWFµ, leading to a weighted average  ... 
doi:10.1109/icassp.2011.5946999 dblp:conf/icassp/NgoMJW11 fatcat:yg3rombqgzarho3i3mwuzi4qki
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