A Standardized, and Extensible Framework for Comparative Analysis of Quantitative Finance Algorithms - An Open-Source Solution, and Examples of Baseline Experiments with Discussion.
Alasdair MacindoeOgnjen ArandjelovicPublished in: ICBK (2018)
Keyphrases
- comparative analysis
- open source
- recently developed
- orders of magnitude
- case study
- times faster
- source code
- computationally efficient
- theoretical analysis
- main contribution
- data structure
- learning algorithm
- probabilistic model
- data model
- computational efficiency
- optimization method
- combinatorial optimization
- optimal solution
- solution quality
- partial solutions
- approximate solutions
- numerical algorithms