Learning the dynamics of technical trading strategies

@article{Murphy2019LearningTD,
  title={Learning the dynamics of technical trading strategies},
  author={Nicholas John Murphy and Tim Gebbie},
  journal={Quantitative Finance},
  year={2019},
  volume={21},
  pages={1325 - 1349}
}
  • N. Murphy, T. Gebbie
  • Published 6 March 2019
  • Economics, Mathematics, Computer Science
  • Quantitative Finance
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the dynamics of a large population of technical trading strategies that can survive historical back-testing as well as form an overall aggregated portfolio trading strategy from the set of underlying trading strategies implemented on daily and intraday Johannesburg Stock Exchange data. The… Expand
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