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A Novel Optimal Profit Resilient Filter Pairs Trading Strategy for Cryptocurrencies.

You LiangAerambamoorthy ThavaneswaranAlex PasekaWei QiaoMelody GhahramaniSulalitha Bowala
Published in: COMPSAC (2022)
Keyphrases
  • decision making
  • optimal solution
  • dynamic programming
  • optimal design
  • optimal capacity
  • similarity measure
  • worst case
  • noise reduction
  • preprocessing step
  • expected cost
  • return on investment
  • optimal filter