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- W2922262326 abstract "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 relative population dynamics 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 resulting population time-series are investigated using unsupervised learning for dimensionality reduction and visualisation. A key contribution is that the overall aggregated trading strategies are tested for statistical arbitrage using a novel hypothesis test proposed by Jarrow et al. on both daily sampled and intraday time-scales. The (low frequency) daily sampled strategies fail the arbitrage tests after costs, while the (high frequency) intraday sampled strategies are not falsified as statistical arbitrages after costs. The estimates of trading strategy success, cost of trading and slippage are considered along with an offline benchmark portfolio algorithm for performance comparison. The work aims to explore and better understand the interplay between different technical trading strategies from a data-informed perspective." @default.
- W2922262326 created "2019-03-22" @default.
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- W2922262326 date "2019-03-01" @default.
- W2922262326 modified "2023-09-27" @default.
- W2922262326 title "Learning the population dynamics of technical trading strategies" @default.
- W2922262326 hasPublicationYear "2019" @default.
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