Download This PaperOptimization of Trading Physics Models of Markets
44 Pages Posted: 6 Nov 2000
Abstract
We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading models.
Keywords: Simulated Annealing; Statistical Mechanics; Trading Financial Markets
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