Proceedings of the International Conference on Operations Research and Financial Engineering 2009. - Venecia : WASET, 2009
Pages
s. 951-955
Number of pages
5 s.
Publication form
www - www
Action
ICORFE 2009 : "International Conference on Operations Research and Financial Engineering"
Event date
28.10.2009-30.10.2009
VEvent location
Venice
Country
IT - Italy
Event type
WRD
Language
eng - English
Country
IT - Italy
Keywords
futures trading ; time series ; dynamic programming
Subject RIV
AH - Economics
R&D Projects
GA102/08/0567 GA ČR - Czech Science Foundation (CSF)
2C06001 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Annotation
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.
