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Optimization of Trading Physics Models of Markets

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  • Lester Ingber
  • Radu Paul Mondescu

Abstract

We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading models.

Suggested Citation

  • Lester Ingber & Radu Paul Mondescu, 2000. "Optimization of Trading Physics Models of Markets," Papers physics/0007075, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0007075
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    5. Ingber, Lester, 2000. "High-resolution path-integral development of financial options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
    6. L. Ingber & B. Rosen, 1992. "Genetic algorithms and very fast simulated reannealing: A comparison," Lester Ingber Papers 92ga, Lester Ingber.
    7. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.
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    20. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
    21. L. Ingber, 1996. "Adaptive simulated annealing (ASA): Lessons learned," Lester Ingber Papers 96as, Lester Ingber.
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    Citations

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    Cited by:

    1. L. Ingber, 1993. "ASA-README included with ASA code," Lester Ingber Papers 93as, Lester Ingber.
    2. L. Ingber, 2012. "Adaptive simulated annealing," Lester Ingber Papers 12as, Lester Ingber.
    3. Victor Lebreton, 2007. "Le trading algorithmique," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00332823, HAL.
    4. L. Ingber, 2002. "Statistical mechanics of portfolios of options," Lester Ingber Papers 02po, Lester Ingber.
    5. L. Ingber, 2017. "Quantum Path-Integral qPATHINT Algorithm," Lester Ingber Papers 17qa, Lester Ingber.
    6. L. Ingber, 2015. "Calculating consciousness correlates at multiple scales of neocortical interactions," Lester Ingber Papers 15cm, Lester Ingber.
    7. Lester Ingber, 2020. "Developing Bid-Ask Probabilities for High-Frequency Trading," Virtual Economics, The London Academy of Science and Business, vol. 3(2), pages 7-24, April.
    8. L. Ingber, 2021. "Hybrid classical-quantum computing: Applications to statistical mechanics of financial markets," Lester Ingber Papers 21cq, Lester Ingber.
    9. L. Ingber, 2021. "Hybrid classical-quantum computing: Applications to statistical mechanics of neocortical interactions," Lester Ingber Papers 21hc, Lester Ingber.
    10. L. Ingber, 2020. "Forecasting with importance-sampling and path-integrals: Applications to COVID-19," Lester Ingber Papers 20fi, Lester Ingber.
    11. L. Ingber & R.P. Mondescu, 2003. "Automated internet trading based on optimized physics models of markets," Lester Ingber Papers 03ai, Lester Ingber.

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    16. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.
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