[RT] Paper: Optimization of Trading Physics Models of Markets

[Lester Ingber <ingber@xxxxxxxxxx>]

The following preprint is available:

          %A L. Ingber
          %A R.P. Mondescu
          %T Optimization of Trading Physics Models of Markets
          %D 2001
          %J IEEE Trans. Neural Networks
          %O Invited paper for special issue on Neural Networks in
          Financial Engineering. URL
          http://www.ingber.com/markets01_optim_trading.ps.gz

                                 ABSTRACT
          We  describe  an  end-to-end  real-time  S&P futures trading
     system.  Inner-shell  stochastic  nonlinear  dynamic  models  are
     developed,  and  Canonical  Momenta  Indicators (CMI) are derived
     from a fitted  Lagrangian  used  by  outer-shell  trading  models
     dependent   on   these   indicators.    Recursive   and  adaptive
     optimization using Adaptive Simulated Annealing (ASA) is used for
     fitting  parameters  shared  across  these  shells of dynamic and
     trading models.

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