Proceedings of the International Conference on Operations Research and Financial Engineering 2009. - Venecia : WASET, 2009
Rozsah stran
s. 951-955
Poč.str.
5 s.
Forma vydání
www - www
Akce
ICORFE 2009 : "International Conference on Operations Research and Financial Engineering"
Datum konání
28.10.2009-30.10.2009
Místo konání
Venice
Země
IT - Itálie
Typ akce
WRD
Jazyk dok.
eng - angličtina
Země vyd.
IT - Itálie
Klíč. slova
futures trading ; time series ; dynamic programming
Vědní obor RIV
AH - Ekonomie
CEP
GA102/08/0567 GA ČR - Grantová agentura ČR
2C06001 GA MŠMT - Ministerstvo školství, mládeže a tělovýchovy
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Anotace
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.