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Search Results for Collection: FMC² Research Collection
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(Springer, 2010)Although there is a plentiful literature on the use of evolutionary methodologies for the trading of Financial assets, little attention has been paid to the issue of efficient trade execution. Trade execution is concerned ...
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(Springer, 2010)Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to potential use of these methods for efficient trade execution. Trade ...
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(IEEE Press, 2010)Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as ...
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(Cambridge Journals, 2010-06)This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
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(Elsevier, 2010-04)This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer ...
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(IEEE Press, 2010-07)Asset allocation is critical for the portfolio management process. In this paper, we solve a dynamic asset allocation problem through a multiperiod stochastic programming model. The objective is to maximise the expected ...
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(IEEE Press, 2010-07)A significant problem in the area of stock selection is that of identifying the factors that affect a security’s return. While modern portfolio theory suggests a linear multi-factor model in the form of Arbitrage Pricing ...
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(Springer, 2010-09)In this paper we investigate the profitability of evolved technical trading rules when controlling for data-mining bias. For the first time in the evolutionary computation literature, a comprehensive test for a rule’s ...
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(IEEE Press, 2010-07)Significant payment flows now take place on-line, giving rise to a requirement for efficient and effective systems for the detection of credit card fraud. A particular aspect of this problem is that it is highly dynamic, ...
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(Springer, 2010-04)Trading-rule representation is an important factor to consider when designing a quantitative trading system. This study implements a trading strategy as a rule-based policy. The result is an intuitive human-readable format ...