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Research Centre
Data - Algorithms - Decision Making
Data - Algorithms - Decision Making
Established in 2005 under support of MŠMT ČR (project 1M0572)
Publications
Dynamic decision making via approximate dynamic programming
Typ:
Research report
Name of edition:
Research Report
Article number:
2227
Publisher:
ÚTIA AV ČR
Serie:
Praha
Year:
2008
Keywords:
dynamic decision making, stochastic dynamic programming, Bay
Anotation:
This work deals with dynamic decision making via approximate dynamic programming in application to the futures trading. This work describes the theoretical description of dynamic decision making and approximate dynamic programming, you can also nd here the principles of Bayesian estimation, which is necessary for solving our task.We designed and described one of possible trading strategy { receding horizont strategy combined with anticipative strategy, the predictions of prices, which are necessary for using of this strategy, are made by certainty equivalence strategy and by Monte Carlo method. The designed strategy was tested on real data and unfortunately this strategy doesn t provide a prot.