Article ID Journal Published Year Pages File Type
6904517 Applied Soft Computing 2016 16 Pages PDF
Abstract

- An adaptive modeling and trading approach to financial time series is proposed based on DTMS model.
- A hybrid optimization method is proposed to estimate parameters of DTMS model.
- The adaptive modeling-based asset allocation method may obtain satisfactory investment return.
Keywords
Related Topics
Physical Sciences and Engineering Computer Science Computer Science Applications
Preview
An adaptive modeling and asset allocation approach to financial markets based on discrete microstructure model
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