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Results for “triple MA” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 0 · desk corpus 2
arXiv · arXiv · 2024
This paper investigates the enhancement of financial time series forecasting with the use of neural networks through supervised autoencoders (SAE), to improve investment strategy performance. Using the Sharpe and Information Ratios, it specifically examines the impact of noise augmentation and triple barrier labeling on risk-adjusted returns. The study focuses on Bitcoin, Litecoin, and Ethereum as the traded assets f…
Bartosz Bieganowski, Robert Ślepaczuk
arXiv · arXiv · 2020
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs. The liquid pairs in the triplet are chosen so that one of the pairs is redundant. The broker is risk-neutral and accounts for model a…
Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia
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