I want to solve the following optimization problem: What is the optimal general trading strategy (in the sense of the highest Sharpe ratio) on a time series which is the result of a Hidden Markov ...
As all research on the momentum strategies are focused on the indicator, i.e. the entry point, there seems not much discussion on its expected return? Though there are some discussions on the exit ...
Market making often requires placing and canceling a lot of orders. You have to buy and sell nearly simultaneously, so you need to move orders pretty often to beat other traders. But I would like to ...