文档介绍：MACHINE LEARNING
PUTATIONAL FINANCE
By
Victor Boyarshinov
A Thesis Submitted to the Graduate
Faculty of Rensselaer Polytechnic Institute
in Partial Fulfillment of the
Requirements for the Degree of
DOCTOR OF PHILOSOPHY
Major Subject: Computer Science
Approved by the
mittee:
Malik Magdon-Ismail, Thesis Adviser
Costas Busch, Member
Mark Goldberg, Member
Mukkai Krishnamoorthy, Member
John E. Mitchell, Member
Rensselaer Polytechnic Institute
Troy, NY
April 2005
(For Graduation May 2005)
MACHINE LEARNING
PUTATIONAL FINANCE
By
Victor Boyarshinov
An Abstract of a Thesis Submitted to the Graduate
Faculty of Rensselaer Polytechnic Institute
in Partial Fulfillment of the
Requirements for the Degree of
DOCTOR OF PHILOSOPHY
Major Subject: Computer Science
The original of plete thesis is on file
in the Rensselaer Polytechnic Institute Library.
Approved by the
mittee:
Malik Magdon-Ismail, Thesis Adviser
Costas Busch, Member
Mark Goldberg, Member
Mukkai Krishnamoorthy, Member
John E. Mitchell, Member
Rensselaer Polytechnic Institute
Troy, NY
April 2005
(For Graduation May 2005)
Contents
1 Introduction and Motivation 1
2 Collecting Training Dataset Using Optimal Trading Strategies 4
............................ 4
........................................ 8
................................... 11
:Return-OptimalTradingStrategies........... 12
UnconstrainedReturn-OptimalTradingStrategies............... 12
ConstrainedReturn-OptimalStrategies..................... 13
:Sterling-OptimalTradingStrategies........... 15
UnconstrainedSterling-OptimalStrategies.................... 16
cr
Maximizing ................................... 19
dr
ConstrainedSterling-OptimalStrategies..................... 22
:SharpeOptimalTrading