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Automated internet trading based on optimized physics models of markets

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File URL: http://www.ingber.com/markets03_automated.pdf
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Paper provided by Lester Ingber in its series Lester Ingber Papers with number 03ai.

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Date of creation: 2003
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Handle: RePEc:lei:ingber:03ai
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  1. L. Ingber, 1993. "Simulated annealing: Practice versus theory," Lester Ingber Papers 93sa, Lester Ingber.
  2. 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.
  3. 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.
  4. L. Ingber, 1996. "Adaptive simulated annealing (ASA): Lessons learned," Lester Ingber Papers 96as, Lester Ingber.
  5. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
  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.
  7. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber.
  8. L. Ingber, 1986. "Statistical mechanics of neocortical interactions," Lester Ingber Papers 86ni, Lester Ingber.
  9. 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.
  10. 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.
  11. Lester Ingber & Radu Paul Mondescu, 2000. "Optimization of Trading Physics Models of Markets," Papers physics/0007075, arXiv.org.
  12. L. Ingber, 1984. "Statistical mechanics of nonlinear nonequilibrium financial markets," Lester Ingber Papers 84nn, Lester Ingber.
  13. L. Ingber, 1996. "Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading," Lester Ingber Papers 96nf, Lester Ingber.
  14. L. Ingber, 1993. "Adaptive Simulated Annealing (ASA)," Lester Ingber Software asa, Lester Ingber.
  15. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
  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.
  17. 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.
  18. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  19. L. Ingber, 1985. "Statistical mechanics of neocortical interactions: Stability and duration of the 7+-2 rule of short-term-memory capacity," Lester Ingber Papers 85st, Lester Ingber.
  20. 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.
  21. L. Ingber, 1996. "Canonical momenta indicators of financial markets and neocortical EEG," Lester Ingber Papers 96cm, Lester Ingber.
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