PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Multi-strategy trading utilizing market regimes
Hynek Mlnarik, Subramanian Ramamoorthy and Rahul Savani
In: Advances in Machine Learning for Computational Finance, 20-21 July 2009, London, UK.

Abstract

This paper considers the problem of dynamically allocating capital to a portfolio of trading strategies. The allocation should be robust, and the capital allocated to a trading strategy should reflect the confidence in the expected profit that the strategy will make in current market conditions. We present a new algorithm that that empirically picks distributions that often approximate the performance of an oracle that picks the best trading strategy in each period from the ground set. To this end, we explicitly define regimes as subsets of strategies.

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EPrint Type:Conference or Workshop Item (Talk)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:5395
Deposited By:Subramanian Ramamoorthy
Deposited On:28 April 2009