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EnglishThis article presents a simple method for a posteriori (historical) multivariate, multistage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, the authors analyze the stage-wise optimal allocation over a time horizon with potential investments in multiple currencies and various assets. Three variants are discussed: unconstrained trading frequency, a fixed number of total admissible trades, and waiting a specific time period after every executed trade until the next trade. The developed methods are based on efficient graph generation and consequent graph search and are evaluated quantitatively on real-world data. The fundamental motivation of this work is preparatory labeling of financial time-series data for supervised machine learning.
| Titolo: | A Posteriori Multistage Optimal Trading under Transaction Costs and a Diversification Constraint |
| Autori: | |
| Data di pubblicazione: | 2018 |
| Rivista: | |
| Handle: | http://hdl.handle.net/20.500.11771/13283 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| 1709.07527.pdf | Pre-print |  | Open Access Visualizza/Apri |
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