Optimization of Trading Physics Models of Markets

Details Optimization of Trading Physics Models of Markets Optimization of Trading Physics Models of Markets

2000-07-22

arxiv.org/abs/physics/0007075v1

Physics

Computational Physics

Scientific paper

We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading models.

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