2010/09/23 by Victor Boyarshinov, Boyarshinov, Victor, Malik Magdon‐Ismail +1
Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Neural Networks and Applications #Numerical Methods and Algorithms #and Science (cs.CE)
paper · pdf · doi:10.48550/arxiv.1009.4683
openalex publication_date 2010/09/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Given the return series for a set of instruments, a trading strategy is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading strategies that are optimal with respect to the total return, the Sterling ratio and the Sharpe ratio. Such ex-post optimal strategies are useful analysis tools. They can be used to analyze the "profitability of a market" in terms of optimal trading; to develop benchmarks against which real trading can be compared; and, within an inductive framework, the optimal trades can be used to to teach learning systems (predictors) which are then used to identify future trading opportunities.