Loss-minimal Algorithmic Trading Based on Levy Processes
Loss-minimal Algorithmic Trading Based on Levy Processes
Author(s): Farhad Kia, Gábor Jeney, János LevendovszkySubject(s): Electronic information storage and retrieval
Published by: UIKTEN - Association for Information Communication Technology Education and Science
Keywords: Levy Process; Algorithmic trading; Portfolio optimization; FOREX
Summary/Abstract: In this paper we optimize portfolios assuming that the value of the portfolio follows a Lévy process. First we identify the parameters of the underlying Lévy process and then portfolio optimization is performed by maximizing the probability of positive return. The method has been tested by extensive performance analysis on Forex and SP 500 historical time series. The proposed trading algorithm has achieved 4.9\% percent yearly return on average without leverage which proves its applicability to algorithmic trading
Journal: TEM Journal
- Issue Year: 3/2014
- Issue No: 3
- Page Range: 210-215
- Page Count: 6
- Language: English
