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Evaluating the performance of adapting trading strategies with different memory lengths
Minority game prediction performance
2010/10/29
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with di erent memory lengths using the strategies' past performance...
No Arbitrage Conditions For Simple Trading Strategies
Arbitrage Conditions Trading Strategies
2010/12/13
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the lo...