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Optimization of trading physics models of markets

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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.
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  • L. Ingber & R.P. Mondescu, 2001. "Optimization of trading physics models of markets," Lester Ingber Papers 01ot, Lester Ingber.
    • Handle: RePEc:lei:ingber:01ot
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    File URL: https://www.ingber.com/markets01_optim_trading.pdf
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    Cited by:

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

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