Asymptotically Optimal Algorithm for Short-Term Trading Based on the Method of Calibration
Vladimir V. V'yuginVladimir G. TrunovPublished in: CoRR (2012)
Keyphrases
- short term
- dynamic programming
- optimization algorithm
- long term
- improved algorithm
- objective function
- computational complexity
- asymptotically optimal
- convergence rate
- motion prediction
- support vector machine svm
- support vector machine
- np hard
- search space
- learning algorithm
- worst case
- multi dimensional
- upper bound
- least squares
- stock market
- optimal solution