Optimizing the Ex-post Trading Profits in a Financial Market

作     者：KIN LAM（Department of Finance and Decision Sciences, School of Business, Hong Kong Baptist University, Hong Kong) XIANG-SUN ZHANG(Institute of Applied Mathematics, The Chinese Academy of Sciences, Beijing, China) WEI LI（Department of Finance and Decisi 

作者机构：香港浸会大学 香港 中科院应用数学所 北京 

出 版 物：《运筹学学报》 (Operations Research Transactions)

年 卷 期：1997年第1卷第1期

页      面：2-13页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：filter trading rule optimization finance investment neural network training set 

摘      要：Consider investing in an asset in a financial market. Given the investment returnri in day i, consider the problem of making an investmeat decision di in day i wheredi= 1,0, -1, has the meaning that the investor maintains a long, neutral or shortposition of the asset. The overall invest return over an n day period is given bywhere c=transaction cO8t and d0 = dn+1 = 0 are given. The optinization problemof maximizing IR(d) is considered. Analytic solution of the opthaation porblem isobtained. The solution is shown to be closely related to Alexander’s tilter trading ruleand has praCtical implication in applying neural network to generate trading signals ina financial maket.