Download or read book Optimal Trading Strategies Vs a Statistical Adversary written by Andrew Chou and published by . This book was released on 1994 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Online Computation and Competitive Analysis written by Allan Borodin and published by Cambridge University Press. This book was released on 2005-02-17 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains theoretical foundations, applications, and examples of competitive analysis for online algorithms.
Download or read book Proceedings of the Sixth Annual ACM SIAM Symposium on Discrete Algorithms written by and published by SIAM. This book was released on 1995-01-01 with total page 668 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proceedings of the January 1995 symposium, sponsored by the ACM Special Interest Group on Algorithms and Computation Theory and the SIAM Activity Group on Discrete Mathematics, comprise 70 papers. Among the topics: on-line approximate list indexing with applications; finding subsets maximizing minimum structures; register allocation in structured programs; and splay trees for data compression. No index. Annotation copyright by Book News, Inc., Portland, OR
Download or read book Masters Theses in the Pure and Applied Sciences written by Wade H. Shafer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Masters Theses in the Pure and Applied Sciences was first conceived, published, and disseminated by the Center for Information and Numerical Data Analysis and Synthesis (CINDAS)* at Purdue University in 1957, starting its coverage of theses with the academic year 1955. Beginning with Volume 13, the printing and dis semination phases of the activity were transferred to University Microfilms/Xerox of Ann Arbor, Michigan, with the thought that such an arrangement would be more beneficial to the academic and general scientific and technical community. After five years of this joint undertaking we had concluded that it was in the interest of all concerned if the printing and distribution of the volumes were handled by an international publishing house to assure improved service and broader dissemination. Hence, starting with Volume 18, Masters Theses in the Pure and Applied Sciences has been disseminated on a worldwide basis by Plenum Publishing Corporation of New York, and in the same year the coverage was broadened to include Canadian universities. All back issues can also be ordered from Plenum. We have reported in Volume 39 (thesis year 1994) a total of 13,953 thesis titles from 21 Canadian and 159 United States universities. We are sure that this broader base for these titles reported will greatly enhance the value of this impor tant annual reference work. While Volume 39 reports theses submitted in 1994, on occasion, certain uni versities do report theses submitted in previous years but not reported at the time.
Download or read book Quantitative Trading written by Xin Guo and published by CRC Press. This book was released on 2017-01-06 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.
Download or read book Optimal Trading Strategies Within the Hamilton Jacobi Bellman Equation An Application to Statistical Arbitrage written by Atsunari Konishi and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose optimal trading strategies based on the Hamilton-Jacobi-Bellman equation when a trader is allowed to place only market orders with a particular focus on a statistical arbitrage. A process that a placed limit order is filled is often modeled as a stochastic point process. In case of a market order, however, it is filled with a hundred percent probability meaning that it is not a stochastic process and is rather a deterministic one. They are therefore represented using the Heaviside step function and their infinitesimal generators are just time derivative and give delta functions. An integral linear utility function with an inventory penalty and a discount enables us to obtain optimal number of market order with a simple calculus and those in a limit T → ∞, i.e. a stationary limit. We show that, at least within our formulation, we cannot generate a positive PnL by trading multiple set of assets whose noises are correlated but their drifts are zero which contradicts the common statement that "Given correlated multiple assets, we can exploit those correlations by trading an appropriate linear combination of them". However, we show that if multiple assets are cointegrated, we can create a mean-reverting portfolio and exploit them. In that case, an optimal number of market order which takes current status of market as well as a trader's preference into account is given in a simple but intuitive and reasonable form and it does generate positive PnL while controlling risk of the portfolio.
Download or read book Statistical Arbitrage written by Andrew Pole and published by John Wiley & Sons. This book was released on 2011-07-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
Download or read book Proceedings of the Annual ACM SIAM Symposium on Discrete Algorithms written by and published by . This book was released on 1997 with total page 812 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays On Trading Strategy written by Graham L Giller and published by World Scientific. This book was released on 2023-08-17 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book directly focuses on finding optimal trading strategies in the real world and supports that with a well-defined theoretical foundation that allows trading strategy problems to be solved. Critically, it also delivers a menu of actual solutions that can be applied by traders with various risk profiles and objectives in markets that exhibit substantial tail risk. It shows how the Markowitz approach leads to excessive risk taking, and trader underperformance, in the real world. It summarizes the key features of Utility Theory, the deficiencies of the Sharpe Ratio as a statistic, and develops an optimal decision theory with fully developed examples for both 'Normal' and leptokurtotic distributions.
Download or read book Computing and Combinatorics written by Takao Asano and published by Springer Science & Business Media. This book was released on 1999-07-07 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the First International Workshop on Machine Learning and Data Mining in Pattern Recognition, MLDM'99, held in Leipzig, Germany in September 1999. The 15 revised full papers presented together with two invited contributions were carefully reviewed. The papers are organized in sections on neural networks applied to image processing and recognition, learning in image pre-processing and segmentation, image retrieval, classification and image interpretation, symbolic learning and neural networks in document processing, and data mining.
Download or read book Automata Languages and Programming written by Friedhelm Meyer auf der Heide and published by Springer Science & Business Media. This book was released on 1996-06-26 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume constitutes the refereed proceedings of the 23rd International Colloquium on Automata, Languages and Programming (ICALP '96), held at Paderborn, Germany, in July 1996. ICALP is an annual conference sponsored by the European Association on Theoretical Computer Science (EATCS). The proceedings contain 52 refereed papers selected from 172 submissions and 4 invited papers. The papers cover the whole range of theoretical computer science; they are organized in sections on: Process Theory; Fairness, Domination, and the u-Calculus; Logic and Algebra; Languages and Processes; Algebraic Complexity; Graph Algorithms; Automata; Complexity Theory; Combinatorics on Words; Algorithms; Lower Bounds; Data Structures...
Download or read book Optimal Trading Strategies Quantitative Approaches For Managing Market Impact And Trading Risk written by Kissell & Glantz and published by . This book was released on with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Trading Strategies written by Robert Kissell and published by Amacom Books. This book was released on 2003 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The decisions that investment professionals and fund managers make have a direct impact on investor return. Unfortunately, the best implementation methodologies are not widely disseminated throughout the professional community, compromising the best interests of funds, their managers, and ultimately the individual investor. But now there is a strategy that lets professionals make better decisions. This valuable reference answers crucial questions such as: * How do I compare strategies? * Should I trade aggressively or passively? * How do I estimate trading costs, ""slice"" an order, and measure performance? and dozens more. Optimal Trading Strategies is the first book to give professionals the methodology and framework they need to make educated implementation decisions based on the objectives and goals of the funds they manage and the clients they serve."
Download or read book SOFSEM 2016 Theory and Practice of Computer Science written by Rūsiņš Mārtiņš Freivalds and published by Springer. This book was released on 2016-01-14 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the proceedings of the 42nd International Conference on Current Trends in Theory and Practice of Computer Science, SOFSEM 2016, held in Harrachov, Czech Republic, in January 2016. The 43 full papers presented in this volume were carefully reviewed and selected from 116 submissions. They are organized in topical sections named: foundations of computer science; software engineering: methods, tools, applications; and data, information, and knowledge engineering. The volume also contains 7 invited talks in full paper length.
Download or read book Adversarial Machine Learning written by Aneesh Sreevallabh Chivukula and published by Springer Nature. This book was released on 2023-03-06 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: A critical challenge in deep learning is the vulnerability of deep learning networks to security attacks from intelligent cyber adversaries. Even innocuous perturbations to the training data can be used to manipulate the behaviour of deep networks in unintended ways. In this book, we review the latest developments in adversarial attack technologies in computer vision; natural language processing; and cybersecurity with regard to multidimensional, textual and image data, sequence data, and temporal data. In turn, we assess the robustness properties of deep learning networks to produce a taxonomy of adversarial examples that characterises the security of learning systems using game theoretical adversarial deep learning algorithms. The state-of-the-art in adversarial perturbation-based privacy protection mechanisms is also reviewed. We propose new adversary types for game theoretical objectives in non-stationary computational learning environments. Proper quantification of the hypothesis set in the decision problems of our research leads to various functional problems, oracular problems, sampling tasks, and optimization problems. We also address the defence mechanisms currently available for deep learning models deployed in real-world environments. The learning theories used in these defence mechanisms concern data representations, feature manipulations, misclassifications costs, sensitivity landscapes, distributional robustness, and complexity classes of the adversarial deep learning algorithms and their applications. In closing, we propose future research directions in adversarial deep learning applications for resilient learning system design and review formalized learning assumptions concerning the attack surfaces and robustness characteristics of artificial intelligence applications so as to deconstruct the contemporary adversarial deep learning designs. Given its scope, the book will be of interest to Adversarial Machine Learning practitioners and Adversarial Artificial Intelligence researchers whose work involves the design and application of Adversarial Deep Learning.
Download or read book Algorithmic Trading written by Sophia Foster and published by . This book was released on 2021-05-24 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algorithmic Trading Methods: Applications using Advanced Statistics, Optimization, and Machine Learning Techniques, Second Edition, is a sequel to The Science of Algorithmic Trading and Portfolio Management. This edition includes new chapters on algorithmic trading, advanced trading analytics, regression analysis, optimization, and advanced statistical methods. Increasing its focus on trading strategies and models, this edition includes new insights into the ever-changing financial environment, pre-trade and post-trade analysis, liquidation cost & risk analysis, and compliance and regulatory reporting requirements. Highlighting new investment techniques, this book includes material to assist in the best execution process, model validation, quality and assurance testing, limit order modeling, and smart order routing analysis. Includes advanced modeling techniques using machine learning, predictive analytics, and neural networks. The text provides readers with a suite of transaction cost analysis functions packaged as a TCA library. These programming tools are accessible via numerous software applications and programming languages.
Download or read book Beyond the Worst Case Analysis of Algorithms written by Tim Roughgarden and published by Cambridge University Press. This book was released on 2021-01-14 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces exciting new methods for assessing algorithms for problems ranging from clustering to linear programming to neural networks.
