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Testing leverage-based trading strategies under an adaptive-expectations agent-based model
TLDR
In this paper, we introduce a trading strategy which uses numerical methods to optimise the level of leverage when trading in a continuous-double auction for risky assets. Expand
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Study on Singular Spectrum Analysis as a New Technical Oscillator for Trading Rules Design
TLDR
The connection between Singular Spectrum Analysis decomposition and short-term market movements is investigated. Expand
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Introducing learning automata to financial portfolio components selection
TLDR
In this paper, we introduce a novel method to select the components of a portfolio of securities instead of the weights. Expand
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A singular spectrum analysis based trend-following trading system
TLDR
A comparison between Moving Averages (MA) and two versions of Singular Spectrum Analysis (SSA) methodology — the Caterpillar and the Toeplitz — is presented. Expand
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Prioritization of maintenance equipment employing multicriteria decision aid
TLDR
The central theme of this paper is the prioritization of failing equipment using a Multicriteria Decision Aid method. Expand
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A Multicriteria Trading System Based on Singular Spectrum Analysis Trading Rules
TLDR
A new trading system (TS) is proposed in this paper, based on singular spectrum analysis (SSA) and on a decision-making process that relies on performance measures adjusted by profit and risk. Expand
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Recursive Singular Spectrum Analysis Applied to the Design of a Trading System
TLDR
Singular Spectrum Analysis (SSA) is a nonparametric approach that can be used to decompose a time series as trends, oscillations. Expand
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Is the El Farol more efficient when cognitive rational agents have a larger memory size?
TLDR
We develop a concept of rationality inspired in cognitive emotion theories, by conceptualizing the belief threshold by which agents must change its current strategy. Expand
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Optimal Level of Leverage using Numerical Methods
Advances in computer software and in agent-based computational finance allow the use of numerical methods in order to optimize different type of functions. In this paper we propose a numerical methodExpand
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