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Optimization of Trading Systems and Portfolios

Author

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  • John Moody
  • Lizhong Wu

    (Oregon Graduate Institute of Science & Technology)

Abstract

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Suggested Citation

  • John Moody & Lizhong Wu, "undated". "Optimization of Trading Systems and Portfolios," Computing in Economics and Finance 1997 55, Society for Computational Economics.
    • Handle: RePEc:sce:scecf7:55
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    Cited by:

    1. Yuchen Fang & Kan Ren & Weiqing Liu & Dong Zhou & Weinan Zhang & Jiang Bian & Yong Yu & Tie-Yan Liu, 2021. "Universal Trading for Order Execution with Oracle Policy Distillation," Papers 2103.10860, arXiv.org.
    2. Yoshua Bengio & Nicolas Chapados, 2002. "Cost Functions and Model Combination for VaR-based Asset Allocation using Neural Networks," CIRANO Working Papers 2002s-49, CIRANO.
    3. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
    4. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
    5. Fischer, Thomas G., 2018. "Reinforcement learning in financial markets - a survey," FAU Discussion Papers in Economics 12/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    6. Francisco Caio Lima Paiva & Leonardo Kanashiro Felizardo & Reinaldo Augusto da Costa Bianchi & Anna Helena Reali Costa, 2021. "Intelligent Trading Systems: A Sentiment-Aware Reinforcement Learning Approach," Papers 2112.02095, arXiv.org.
    7. Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018. "Deep Hedging," Papers 1802.03042, arXiv.org.
    8. Gabriel Borrageiro & Nick Firoozye & Paolo Barucca, 2021. "Reinforcement Learning for Systematic FX Trading," Papers 2110.04745, arXiv.org, revised May 2022.
    9. Dietmar Maringer & Tikesh Ramtohul, 2012. "Regime-switching recurrent reinforcement learning for investment decision making," Computational Management Science, Springer, vol. 9(1), pages 89-107, February.
    10. Chiu-Che Tseng, 2007. "Dynamic Aperiodic Neural Network For Time Series Prediction," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(2), pages 99-113.

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