Optimization of Trading Physics Models of Markets
<|reference_start|>Optimization of Trading Physics Models of Markets: 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.<|reference_end|>
@article{ingber2000optimization,
    title={Optimization of Trading Physics Models of Markets},
    author={Lester Ingber and Radu Paul Mondescu},
    journal={arXiv preprint arXiv:physics/0007075},
    year={2000},
    archivePrefix={arXiv},
    eprint={physics/0007075},
    primaryClass={physics.comp-ph cond-mat.stat-mech cs.CE physics.data-an q-fin.ST}
}