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Optimization of trading physics models of markets

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L. Ingber ()
R.P. Mondescu

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Paper provided by Lester Ingber in its series Lester Ingber Papers with number 01ot.

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
  2. L. Ingber, . "Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading," Lester Ingber Papers 96nn, Lester Ingber. [Downloadable!]
  3. L. Ingber & B. Rosen, . "Genetic algorithms and very fast simulated reannealing: A comparison," Lester Ingber Papers 92ga, Lester Ingber. [Downloadable!]
    Other versions:
  4. L. Ingber, . "Adaptive Simulated Annealing (ASA)," Lester Ingber Software asa, Lester Ingber. [Downloadable!]
  5. L. Ingber, . "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber. [Downloadable!]
  6. Brown, Philip & Kleidon, Allan W. & Marsh, Terry A., 1983. "New evidence on the nature of size-related anomalies in stock prices," Journal of Financial Economics, Elsevier, vol. 12(1), pages 33-56, June. [Downloadable!] (restricted)
  7. L. Ingber, . "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
  8. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June. [Downloadable!] (restricted)
  9. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166. [Downloadable!] (restricted)
  10. Lester Ingber, 2000. "High-resolution path-integral development of financial options," Quantitative Finance Papers physics/0001048, arXiv.org. [Downloadable!]
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  11. L. Ingber, . "Adaptive simulated annealing (ASA): Lessons learned," Lester Ingber Papers 96as, Lester Ingber. [Downloadable!]
  12. Taylor, Stephen J., 1982. "Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 37-61, March. [Downloadable!]
  13. Laurent Laloux & Pierre Cizeau & Jean-Philippe Bouchaud & Marc Potters, 1998. "Noise dressing of financial correlation matrices," Science & Finance (CFM) working paper archive 500051, Science & Finance, Capital Fund Management. [Downloadable!]
  14. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December. [Downloadable!] (restricted)
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  15. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-36, August. [Downloadable!] (restricted)
  16. L. Ingber, . "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber. [Downloadable!]
  17. L. Ingber, . "Simulated annealing: Practice versus theory," Lester Ingber Papers 93sa, Lester Ingber. [Downloadable!]
  18. Shinichi Sakata & Halbert White, 1998. "High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility," Econometrica, Econometric Society, vol. 66(3), pages 529-568, May.
  19. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, . "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber. [Downloadable!]
  20. L. Ingber, . "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber. [Downloadable!]
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. L. Ingber, . "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber. [Downloadable!]
  2. L. Ingber & R.P. Mondescu, . "Automated internet trading based on optimized physics models of markets," Lester Ingber Papers 03ai, Lester Ingber. [Downloadable!]
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This page was last updated on 2009-12-12.

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