| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0331462 |
| utime |
20240111140727.9 |
| mtime |
20091215235959.9 |
| title
(primary) (eng) |
Futures Trading: Design of a Strategy |
| specification |
| page_count |
5 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0333835 |
| title
|
Proceedings of the International Conference on Operations Research and Financial Engineering 2009 |
| page_num |
951-955 |
| publisher |
| place |
Venecia |
| name |
WASET |
| year |
2009 |
|
|
| title
(cze) |
Změny v budoucnosti: Popis strategie |
| keyword |
futures trading |
| keyword |
time series |
| keyword |
dynamic programming |
| author
(primary) |
| ARLID |
cav_un_auth*0223019 |
| name1 |
Zeman |
| name2 |
Jan |
| institution |
UTIA-B |
| full_dept |
Department of Decision Making Theory |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA102/08/0567 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0239566 |
|
| project |
| project_id |
2C06001 |
| agency |
GA MŠk |
| ARLID |
cav_un_auth*0217685 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
The paper describes the futures trading and aims to design the speculators trading strategy. The problem is formulated as the decision making task and such as is solved. The solution of the task leads to complex mathematical problems and the approximations of the decision making is demanded. Two kind of approximation are used in the paper: Monte Carlo for the multi-step prediction and iteration spread in time for the optimization. The solution is applied to the real-market data and the results of the off-line experiments are presented. |
| abstract
(cze) |
Článek popisuje budoucnost výměny a zabývá se popisem spekulativních výměnných strategií. Problém je formulován jako otázka rozhodování a tak je také řešen. Výsledkem je komplexní matematický problém. V tomto článku jsou použity dva druhy aproximací: Monte Carlo pro vícekrokovou předpověď a itarace v čase pro optimalizaci. |
| action |
| ARLID |
cav_un_auth*0255666 |
| name |
ICORFE 2009 : "International Conference on Operations Research and Financial Engineering" |
| place |
Venice |
| dates |
28.10.2009-30.10.2009 |
| country |
IT |
|
| reportyear |
2010 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0176967 |
| arlyear |
2009 |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0333835 Proceedings of the International Conference on Operations Research and Financial Engineering 2009 951 955 Venecia WASET 2009 |
|