This study analyzes mutual influence on investment strategies of financial market agents.
problem Mutual influence among agents in financial markets and its impact on investment strategies.
method Formulated optimal investment differential game problem, derived analytical solutions, proposed fast algorithm, and theoretically analyzed mutual influence.
result Agents' optimal strategies converge to the asymptotic strategy when mutual influence is strong and approaches infinity.
Paper proposes a new framework for combining investment strategies without market-specific assumptions.
problem Lack of a distribution-free and consistent preference framework for decision-making in combining investment strategies.
method Introduces a novel framework for decision-making in combining strategies, free from market conditions and statistical assumptions.
result Proposed strategies outperform individual component strategies in long-term wealth accumulation, with small tradeoffs in Sharpe ratios.
This paper introduces strategies to maximize arbitrage profits in decentralized exchanges.
problem Maximizing profits from arbitrage loops in decentralized exchanges.
method Three strategies: MaxPrice, MaxMax, and Convex Optimization.
result The Convex Optimization strategy yields the highest monetized arbitrage profit in theory and practice.
In this paper we propose an investing strategy based on neural network models combined with ideas from game-theoretic probability of Shafer and Vovk. Our proposed strategy uses parameter values of a neural network with the best performance until the previous round (trading day) for deciding the investment in the curren…
Recent studies have shown that online portfolio selection strategies that exploit the mean reversion property can achieve excess return from equity markets. This paper empirically investigates the performance of state-of-the-art mean reversion strategies on real market data. The aims of the study are twofold. The first…
Stratify unifies and improves multi-step forecasting strategies.
problem Lack of unified frameworks for multi-step forecasting strategies.
method Proposes Stratify, a parameterized framework for multi-step forecasting.
result Novel strategies in Stratify outperform existing ones in over 84% of experiments.
Study examines volatility-based strategy for Chinese ETF options, improving returns in volatile markets.
problem Lack of effective trading strategies in volatile Chinese equity markets.
method Volatility forecasting using GARCH models to dynamically adjust positions and exposures.
result Dynamic adjustment of positions and exposures enhances returns in volatile markets.
Automation of machine learning model development is increasingly becoming an established research area. While automated model selection and automated data pre-processing have been studied in depth, there is, however, a gap concerning automated model adaptation strategies when multiple strategies are available. Manually…
Model shows how heterogeneity in strategies and risk tolerance affects financial market stability.
problem Understanding how heterogeneity impacts financial market dynamics.
method Agent-based model incorporating heterogeneous investment strategies and risk tolerance.
result Heterogeneity in strategies and risk tolerance suppresses price fluctuations.
Optimal order execution strategies for brokers under reference benchmarks.
problem Maximizing broker's utility of excess profit-and-loss subject to reference strategies.
method Formulated as a utility maximization problem, optimal strategies derived in closed form.
result General reference strategies can be approximated by piece-wise linear combinations of IS and TC orders.
Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are derived. A discrete distribution of actions, corresponding probability mass, cumulativ…
New trading strategy beats traditional grid in crypto markets.
problem Low expected return of traditional grid trading strategy.
method Dynamic Grid Trading (DGT) strategy that adapts to market conditions.
result DGT strategy outperforms traditional grid and buy-and-hold strategies.
A new approach to continuous-time universal portfolios using pathwise Itô calculus.
problem Continuous-time version of Cover's universal portfolio strategies.
method Pathwise Itô calculus approach to establish existence and properties of universal portfolio strategies.
result The universal portfolio strategy's portfolio value process is the average of all values of constant rebalanced strategies.
This paper deals with the explicit design of strategy formulations to make the best strategic choices from a conventional matrix form of representing strategic choices. The explicit strategy formulation is an analytical model which is targeted to provide a mathematical strategy framework to find the best moment for str…
New method solves continuous time mean-variance model for consistent investment strategy.
problem Time-consistent optimal strategy for continuous time mean-variance model.
method Developed a new Bellman principle method.
result Obtained a time-consistent dynamic optimal strategy.
Paper introduces dynamic strategies for multi-period investment models.
problem Optimizing investment strategies over multiple periods with risk and return considerations.
method Developed a Bellman principle for discrete time multi-period mean-variance models, leading to dynamic optimal strategies and efficient frontiers.
result Dynamic optimal strategies can achieve higher returns with lower risk compared to the 1/n strategy.
We introduce a new general framework for constructing the best trading strategy for a given historical indicator. We construct the unique trading strategy with the highest expected return. This optimal strategy may be implemented directly, or its expected return may be used as a benchmark to evaluate how far away from …
We consider a scenario where an agent has multiple available strategies to explore an unknown environment. For each new interaction with the environment, the agent must select which exploration strategy to use. We provide a new strategy-agnostic method that treat the situation as a Multi-Armed Bandits problem where the…
A game theory study on optimal hiding and searching strategies in discrete locations.
problem Optimal hiding and searching strategies in a two-person zero-sum game between a hider and a searcher.
method Proved the existence of optimal strategies, developed an algorithm to compute them, and compared with a simple strategy.
result Optimal hiding strategy involves hiding in each location with nonzero probability, and optimal searching strategy can be constructed with up to n simple sequences.
Global optimization in Bayesian inference yields little additional benefit.
problem Improving psychometric parameter estimation using global optimization strategies.
method Experimental simulations comparing myopic and global strategies in multiple models.
result Global optimization strategies provide negligible additional utility improvement beyond the immediate next steps.
The author proposes a finance trading strategy named Entropy Oriented Trading and apply thermodynamics on the strategy. The state variables are chosen so that the strategy satisfies the second law of thermodynamics. Using the law, the author proves that the rate of investment (ROI) of the strategy is equal to or more t…
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via an information system given by a σ-algebra and so this notion contains classi…
Study optimal growth strategies in a continuous-time asset market.
problem Guaranteeing that individual agent strategies cannot outperform the market.
method Mean-field approximation of an infinite number of infinitesimal agents, focusing on optimal strategy distribution among assets.
result Optimal strategy for market agents is to invest proportionally to discounted expected relative dividend intensities.
Survival strategies in a market with self-determined prices are closely tied to log-optimal investment.
problem Survival of wealth in a market with endogenous prices.
method Assume only one's actions affect prices, use log-optimal strategy, disregard actual prices.
result Survival strategies are asymptotically close to log-optimal strategies.
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. For both strategies, we prov…
Investigates optimal portfolio strategies in markets with latent side information.
problem Investment problem in markets with latent dependence structure and side information.
method Dynamic and constant portfolio strategies, analyzing log-optimal portfolio as benchmark.
result Optimal dynamic strategy growth rate asymptotically converges to constant strategy in stationary markets.
We consider the problem of high-level strategy selection in the adversarial setting of real-time strategy games from a reinforcement learning perspective, where taking an action corresponds to switching to the respective strategy. Here, a good strategy successfully counters the opponent's current and possible future st…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains bounded away from zero. The main results consist in obtaining a sufficient cond…
Explains classic quantitative strategies and their workings.
problem Debunking the magic behind black-box quantitative strategies.
method Derives from simple intuitions and mathematics, addressing both formal and informal aspects.
result Provides a deeper understanding of quantitative strategies.
A deep learning strategy outperforms traditional methods in stocks portfolio management.
problem Optimizing stock portfolio performance using machine learning.
method Deep Deterministic Policy Gradient framework with neural networks.
result Compound annual return rate of 14.12% compared to 7 other strategies.
Deep RL ensemble strategy outperforms individual algorithms in stock trading.
problem Designing profitable stock trading strategies in a complex market.
method Ensemble of three deep reinforcement learning algorithms (PPO, A2C, DDPG) for stock trading.
result Deep ensemble strategy outperforms individual algorithms and traditional min-variance portfolio.
Study Figgie card game strategies using agent-based simulation.
problem Analyze strategies for Figgie card game and market behavior.
method Develop agent-based discrete-event market simulation to test strategies.
result Fundamentalist strategy is profit-maximizing in all tested combinations.
Calibrated strategies can be obtained by performing strategies that have no internal regret in some auxiliary game. Such strategies can be constructed explicitly with the use of Blackwell's approachability theorem, in an other auxiliary game. We establish the converse: a strategy that approaches a convex B-set can be…
The paper analyzes optimal dealer strategies in agent-based market models.
problem Optimal dealer strategies in market models.
method Agent-based simulations extended from Chiarella's model to include liquidity providers.
result Dealers with greater risk aversion tend to perform better, but quote size effects are mixed.
Backtests of structured strategies lose much of their predictive power in live trading.
problem Uncertainty in how marketed backtests predict live performance of structured strategies.
method Analysis of 1,726 structured strategies from ten global institutions.
result Raw backtests have limited portability into live trading and deteriorate sharply.
New method detects heuristics in complex game strategies.
problem Understanding decision-making in games with infinite strategy spaces.
method Introducing decoupled strategies to detect convergence towards Nash equilibria.
result Predictive measure ΔD reveals participants' actions with high success rate.
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of technical trading strategies that can survive historical back-testing as well a…
Improved active output selection reduces calibration time by 10% or more.
problem Efficiently calibrate models with noisy data.
method Improved active output selection strategy considering noise estimate.
result At least 10% fewer measurements needed compared to existing strategies.
This paper optimizes periodic dividend strategies for Lévy processes with transaction costs.
problem Maximizing dividends for spectrally negative Lévy processes with fixed transaction costs.
method Using periodic strategies and fixed transaction costs, the paper calculates the value function and shows optimality conditions.
result A sufficient condition for optimality is that the Lévy measure is completely monotonic.
Study efficient rebalancing strategies for portfolio tracking error.
problem Optimizing portfolio rebalancing under high-frequency asset price models.
method Discrete-time rebalancing strategies derived from continuous model.
result Asymptotically efficient sequence of simple strategies.
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive performance, a multiple pairs trading strategy on major currency pairs was implemente…
p-index approach shows efficient-contrarian strategy outperforms others in low-sentiment periods
problem Evaluating investment strategies in stock markets
method Using p-index risk measure with European put option
result Efficient-contrarian strategy outperforms others in low-sentiment periods
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for…
The paper analyzes optimal stock position-building strategies in competitive markets.
problem Optimal stock position-building in competitive markets with market impact.
method Developed a game-theoretic framework to find best-response strategies.
result Closed-form solutions for equilibrium trading strategies were derived.
Measures strategy durability through minimum regime performance, revealing trade-offs between efficiency and resilience.
problem Systematic investing strategies are vulnerable to regime changes, affecting their effectiveness and performance.
method Introduces minimum regime performance (MRP) to quantify the durability of systematic strategies, capturing how performance deteriorates under changing market conditions.
result Higher long-term Sharpe ratios do not always correlate with higher MRP, highlighting a new dimension of portfolio fragility.
Optimizes dividend payments to balance risk and reward.
problem Maximizing mean-variance of accumulated discounted dividends up to ruin.
method Develops a time-consistent equilibrium strategy using a verification lemma.
result Equilibrium strategy is a barrier strategy for low risk aversion.
Develops optimal trading strategy for illiquid currency pairs.
problem Maximizes revenues for a broker liquidating an illiquid currency pair.
method Uses a currency triplet strategy, considering model ambiguity, and employs simulations.
result Mean P&L increases and standard deviation decreases as ambiguity aversion increases.
We propose a betting strategy based on Bayesian logistic regression modeling for the probability forecasting game in the framework of game-theoretic probability by Shafer and Vovk (2001). We prove some results concerning the strong law of large numbers in the probability forecasting game with side information based on …