In 2016, more than the 80% of transactions in the Forex market (where the world’s currencies trade) have been directed by robots. The design of profitable automatic trading systems is becoming a challenging process. This requires a strong synergy of economists and computer scientists. Our aim is to provide an optimization framework for trading systems that starting from a generic strategy, enhances its performances by exploiting mathematical con- straints. Moreover, the growth of new markets requires suitable solutions inte- grating computer science tools with economic analysis. In this work, we mainly refer to an emerging market known as Binary Options. Starting from basic strategies used every day in the stock markets by professional traders, we show how optimization issues enhance the outcoming performances. Tests on the optimized algorithms are conducted on both historical and real time data.
Optimizing Automated Trading Systems
BIGIOTTI, ALESSANDRO
Writing – Original Draft Preparation
;Alfredo NavarraWriting – Original Draft Preparation
2018
Abstract
In 2016, more than the 80% of transactions in the Forex market (where the world’s currencies trade) have been directed by robots. The design of profitable automatic trading systems is becoming a challenging process. This requires a strong synergy of economists and computer scientists. Our aim is to provide an optimization framework for trading systems that starting from a generic strategy, enhances its performances by exploiting mathematical con- straints. Moreover, the growth of new markets requires suitable solutions inte- grating computer science tools with economic analysis. In this work, we mainly refer to an emerging market known as Binary Options. Starting from basic strategies used every day in the stock markets by professional traders, we show how optimization issues enhance the outcoming performances. Tests on the optimized algorithms are conducted on both historical and real time data.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.