Investment Portfolio Trading based on Markov Chain and Fuzzy Logic.
Riemann Ruiz-CruzArmando D. Diaz-GonzalezPublished in: LA-CCI (2018)
Keyphrases
- markov chain
- fuzzy logic
- market data
- investment strategies
- sharpe ratio
- decision making
- portfolio management
- financial markets
- steady state
- portfolio optimization
- stock exchange
- transition probabilities
- finite state
- trading systems
- neural network
- random walk
- investment decisions
- stock market
- stationary distribution
- monte carlo
- stochastic process
- markov process
- monte carlo simulation
- artificial intelligence
- optimal portfolio
- markov model
- state space
- trading strategies
- monte carlo method
- control system
- electronic markets
- genetic algorithm
- portfolio selection
- transaction costs
- stock price
- transition matrix
- back propagation
- dynamic programming
- reinforcement learning