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Evaluating the performance of adapting trading strategies with different memory lengths
Minority game prediction performance
2010/10/29
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with di erent memory lengths using the strategies' past performance...
Local Risk Decomposition for High-frequency Trading Systems
Financial Markets Risk Multi-scale Systems Complex Systems
2010/11/1
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adju...
An Obdurate Trading Strategy Perspective on the Forward Premium Anomaly
Currency trading strategies uncovered interest parity forward premium anomaly
2010/9/7
Many FX traders appear to be involved in strategies that explicity assume that the violations of uncovered interest rate parity will continue over their investment horizon. Models that try to explain ...
A model for interevent times with long tails and multifractality in human communications: An application to financial trading
model interevent times long tails multifractality human communications application financial trading
2010/12/17
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics ob...
Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
Multistep Bayesian strategy coin-tossing games
2010/12/13
We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk (2001). We show that by a countable mixture of these strategies, ...
No Arbitrage Conditions For Simple Trading Strategies
Arbitrage Conditions Trading Strategies
2010/12/13
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the lo...
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predict...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...
Multi-agent models have been used in many contexts to study generic collective behavior. Similarly, complex networks have become very popular because of the diversity of growth rules giving rise to s...
Exchanges’ Trading Systems in Connection with Direct Market Access – CE3’s Case Study
Exchange Stock Market Broker Trading System Direct Market Access Financial Information Exchange Protocol CE3 Czech Republic Hungary Poland
2010/10/20
Direct market access orders have been growing more rapidly than other ways of accessions (other accessions are supposed to be e.g. by care, worked, manual orders) to the markets recently. This work fo...
Hai Wen
China Center for Economic Research (CCER)
Peking University, Beijing
June 1997
The completion of the GATT Uruguay Round negotiation, the establishment of the World Trade Organization (WTO)...
The Role of Income and Non-homothetic Preferences in Trading Differentiated Food and Beverages
The Role of Income Non-homothetic Preferences Trading Differentiated Food Beverages
2014/4/11
This study investigates the role of income in determining the agrifood exports of selected EU countries, Canada, and the United States (U.S.) byestimating per capita bilateral trade flows for 10 commo...
Water Markets in the West: Price s, Trading, and Contractual Forms
Water Markets the West Price s Trading Contractual Forms
2014/6/24
Rising urban and environmental demandfor water has created growing pressure to re- allocate water from traditional agricultural uses. The evolution of water markets has been more complicated t...
The Doha Development Round of multilateral trade negotiations (often referred
as the DDR) came to a halt in July 2006. This break followed several
unsuccessful attempts to agree on modalities for ...
University of Queensland Business School students place 6th in international trading competition（图）
international trading risk management
2007/3/14
13 March 2007，UQ Business School students placed 6th overnight in the Rotman International Trading Competition hosted by the University of Toronto – beating the likes of MIT and Duke University.