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Avtomatika i Telemekhanika, 2016, Issue 8, Pages 136–158 (Mi at14531)  
This article is cited in 2 scientific papers (total in 2 papers)

Intellectual Control Systems

Applications of combined financial strategies based on universal adaptive forecasting

V. V. V'yugin, V. G. Trunov

Kharkevich Institute of Information Transmission Problems, Moscow, Russia
Full-text PDF (3809 kB) Citations (2)
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Abstract: 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.
Funding agency Grant number
Russian Science Foundation 14-50-00150
The study was conducted at IITP RAS with support of the Russian Science Foundation, project no. 14-50-00150.
Presented by the member of Editorial Board: F. T. Aleskerov

Received: 05.10.2015
English version:
Automation and Remote Control, 2016, Volume 77, Issue 8, Pages 1428–1446
DOI: https://doi.org/10.1134/S0005117916080099
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. V. V'yugin, V. G. Trunov, “Applications of combined financial strategies based on universal adaptive forecasting”, Avtomat. i Telemekh., 2016, no. 8, 136–158; Autom. Remote Control, 77:8 (2016), 1428–1446
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2016/i8/p136
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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