Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy.
Igor HalperinIlya FeldshteynPublished in: CoRR (2018)
Keyphrases
- free energy
- variational bayes
- loopy belief propagation
- foreign exchange
- belief propagation
- trading strategies
- financial markets
- upper bound
- optimal solution
- electronic markets
- investment strategies
- dynamic programming
- probabilistic inference
- competitive learning
- approximate inference
- stock market
- fixed point
- electricity markets
- trading systems
- belief networks
- closed form
- graph cuts