Applications of combined financial strategies based on universal adaptive forecasting

We consider an online adaptive forecasting algorithm for time series elements. Based on this algorithm, we define a universal strategy for the financial market: such a strategy ensures asymptotically maximal profit compared to any trading strategy where decisions are made based on rules that depend...

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Bibliographic Details
Published in:Automation and remote control 2016-08, Vol.77 (8), p.1428-1446
Main Authors: V’yugin, V. V., Trunov, V. G.
Format: Article
Language:English
Subjects:
Adaptive algorithms
Adaptive control systems
Algorithms
Asymptotic properties
CAE) and Design
Calculus of Variations and Optimal Control
Optimization
Computer-Aided Engineering (CAD
Control
Forecasting
Intellectual Control Systems
Mathematics
Mathematics and Statistics
Mechanical Engineering
Mechatronics
Platforms
Robotics
Strategy
Systems Theory
Time series
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Summary:We consider an online adaptive forecasting algorithm for time series elements. Based on this algorithm, we define a universal strategy for the financial market: such a strategy ensures asymptotically maximal profit compared to any trading strategy where decisions are made based on rules that depend continuously on the input information. To reduce risk, in simultaneous trading of several financial instruments we perform adaptive redistribution of the current capital among them according to the AdaHedge algorithm. We propose variations of a combined game with various algorithmic trading strategies. We give results of numerical experiments based on historical data of the MICEX and BATS (US) trading platforms.
ISSN:0005-1179
1608-3032
DOI:10.1134/S0005117916080099