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MEMBERS OF RESEARCH CENTER
Research Centre
Data - Algorithms - Decision Making
Data - Algorithms - Decision Making
Established in 2005 under support of MŠMT ČR (project 1M0572)
Publications
Prediction and optimal trading in U.S. commodity markets
Typ:
Conference paper
Authors:
Proceedings name:
Abstracts of Contributions to 5th International Workshop on Data-Algorithms-Decision Making
Publisher:
ÚTIA AV ČR
Serie:
Praha
Year:
2009
Keywords:
optimal control mathematical finance, Bayesian statistics,
Anotation:
We introduce a method for predicting future prices of U.S. commodity futures. After the presentation of the model and the approximations needed for us to be able to perform all the computations, we propose certain possibilities of decision optimization of the trading agent.