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Optimizing a basket against the efficient market hypothesis
Optimizing the efficient market hypothesis
2010/10/20
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically...
Sequential optimizing investing strategy with neural networks
Sequential investing strategy with neural networks
2010/10/18
In this paper we propose an investing strategy based on neural network models combined with ideas from game-theoretic probability of Shafer and Vovk. Our proposed strategy uses parameter values of a ...
Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
Turnover account value real traders portfolio optimizing behavior
2010/11/3
Despite the availability of very detailed data on nancial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-ba...