Reinforcement Learning Applied to Trading Systems: A Survey

Financial domain tasks, such as trading in market exchanges, are challenging and have long attracted researchers. The recent achievements and the consequent notoriety of Reinforcement Learning (RL) have also increased its adoption in trading tasks. RL uses a framework with well-established formal concepts, which raises its attractiveness in learning profitable trading strategies. However, RL use without due attention in the financial area can prevent new researchers from following standards or failing to adopt relevant conceptual guidelines. In this work, we embrace the seminal RL technical fundamentals, concepts, and recommendations to perform a unified, theoretically-grounded examination and comparison of previous research that could serve as a structuring guide for the field of study. A selection of twenty-nine articles was reviewed under our classification that considers RL's most common formulations and design patterns from a large volume of available studies. This classification allowed for precise inspection of the most relevant aspects regarding data input, preprocessing, state and action composition, adopted RL techniques, evaluation setups, and overall results. Our analysis approach organized around fundamental RL concepts allowed for a clear identification of current system design best practices, gaps that require further investigation, and promising research opportunities. Finally, this review attempts to promote the development of this field of study by facilitating researchers' commitment to standards adherence and helping them to avoid straying away from the RL constructs' firm ground.Comment: 38 page

Advanced Quantitative Modelling and Analysis of Anomalies on Financial Markets — Feedback Trading and Realized Volatility

This thesis is mainly concerned with two broad topics: i) the impact of country ETF’s premiums and discounts over feedback trading; ii) modelling high-frequency realized volatility on liquid assets. Out of the first topic, it investigates whether feedback trading exists in US-listed country ETFs and whether it varies with their observed/forecast premiums and discounts by using a sample of twenty country ETFs for the 2000-2016 window, it shows that feedback trading is present in several of them, particularly those targeting Asia Pacific markets. For the second topic, it analyses the forecastability and tradability of realized volatility on financial markets, specifically, major stock indices and their tradable derivatives are used to help decision makers in taking better hedging or trading positions in the short term. This thesis also extends the study on energy commodities which do not have their own (implied) volatility futures to trade. A heterogenous autoregressive model including jumps is used to model realized volatility, additionally, recurrent neural networks and a hybrid model are also added to the toolbox. It has been noticed, that the linear heterogeneous autoregressive model produces on average the most stable results

Environmental, Health and Economic Conditions during the COVID-19 Pandemic

The spread of coronavirus disease 2019 (COVID-19), which is caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), has evolved as a global pandemic and the disease has affected nearly every country and region. This pandemic has posed further threats to people due to the emergence of the number of novel SARS-CoV-2 strains with unknown original hosts. Since the start of the pandemic, COVID-19 has overwhelmed health systems worldwide, from crippling health resources to causing paradigms shifts in health care delivery. The various strategies taken to control viral transmission including testing process, quarantine and isolation have had dire psychological and financial implications on individuals and institutions. Furthermore, many countries have implemented lockdowns and other restrictions to curb the virus’s spread resulted in disrupted formal education, unplanned fiscal costs on emergency reliefs, and decreased productivity. This Special Issue provides an avenue for authors from various disciplines to better understand the risk factors associated with the spread and severity of COVID-19 infections. It also provides information about the influence of COVID-19 and its countermeasures on local economies, the environment, and mental health. This Special Issue contains 11 research articles and one review

Investment in capital markets

Investment in Capital Markets creates a strategic vision on the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods. The book is written with a main goal to explain the pros and cons of the financial capital investment in the capital markets, discussing the sophisticated investment concepts and techniques in the simple understandable readable general format language. We would like to highlight the three interesting facts about the book: 1. It is centered on the consideration of the modern investment products, the investment vehicles and the investment mediums for the financial capital investment in the capital markets; 2. It is focused on the financial risk calculation and mitigation techniques for the financial capital investment in the financial capital markets. 3. It is aimed to describe the quantum winning virtuous investment strategies creation and execution techniques during the financial capital investment in the capital markets. The investors, financiers, economists, financial analysts, financial traders, financial advisers, lawmakers, policy analysts, subject experts, professors, and students will certainly enjoy a breathtaking splendid learning journey with the explained new ideas, established concepts and outlined future prospects toward the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods

Business Cycles in Economics

The business cycles are generated by the oscillating macro-/micro-/nano- economic output variables in the economy of the scale and the scope in the amplitude/frequency/phase/time domains in the economics. The accurate forward looking assumptions on the business cycles oscillation dynamics can optimize the financial capital investing and/or borrowing by the economic agents in the capital markets. The book's main objective is to study the business cycles in the economy of the scale and the scope, formulating the Ledenyov unified business cycles theory in the Ledenyov classic and quantum econodynamics

The Easy Case for Derivatives Use: Advocating a Corporate Fiduciary Duty to Use Derivatives

This Article hypothesizes that directors have a duty to shareholders to investigate and evaluate how derivatives could minimize risk to their organization. Even more, corporations have a duty to use derivatives if overall portfolio risk will thereby be reduced. Part I of this Article defines and describes the major types of derivatives and explains how and why they are used. Part II investigates the risks of derivatives, comparing these risks to other investment instruments. Part III introduces a new conceptualization of derivatives through exploration of three issues surrounding their use: (1) brokers\u27 liabilities to investors when financial losses result; (2) corporate liability to shareholders for losses; and (3) the possibility that in certain contexts, a corporation has a duty to its shareholders to use derivatives to manage business risk. Part IV proposes a risk management strategy designed to minimize the inherent risks of derivatives and to maximize their advantages in managing ordinary business risk. Part V concludes with a look to the future of derivatives. Derivatives, Duty, Risk Minimizatio

Artificial Neural Networks: A Financial Tool As Applied in the Australian Market

Aim. In the elderly subjects metabolic syndrome (MetS) seems to be associated with low levels of circulating protective soluble receptor for advanced glycation end products (sRAGE). This secondary study aimed to answer whether this phenomenon is manifested from early childhood. Methods. 73 mothers and their 77 infants (4-to-12-months of age) were included in the study. Mothers were classified according to the presence of MetS components as negative (n = 32), those with pre-MetS (insulin resistance + 1 sign of MetS, n = 27) and overt MetS (n = 14). sRAGE and carboxymethyllysine (CML) were determined in the mothers and the infants. Results. Mothers with pre- and overt MetS displayed lower sRAGE levels, while in their children only a trend towards decline was observed. sRAGE levels significantly and inversely correlated with insulin sensitivity and BMI/body weight. No difference in CML levels across the groups was observed. Conclusions. Metabolic syndrome is associated with decreased levels of sRAGE in the mothers and a tendency towards decline of sRAGE in their offspring. Infants of mothers with MetS maintain normoglycemia on the account of higher insulin levels. Keywords: metabolic syndrome, mother-child pairs, QUICKI, sRAGE, insulin resistance, CML.Мета. У пацієнтів похилого віку розвиток метаболічного синдрому (МетС) асоційований з низьким рівнем циркулюючого розчинного рецептора для кінцевих продуктів повного глікозилювання (sRAGE). Мета цієї роботи полягала у пошуку відповіді на питання, чи проявляється таке явище у ранньому дитинстві? Методи. Досліджено 73 матері і 77 дітей віком від чотирьох до 12 місяців. Залежно від присутності компонентів МетС матерів розділили на три групи: негативна (n = 32) – без компонентів МетС; з початковою стадією МетС (резистентність до інсуліну + одна ознака МетС, n = 27) та з явно вираженим МетС (n = 14). У матерів і дітей визначали рівень концентрації sRAGE і карбоксиметиллізину (КМЛ). Результати. У матерів з початковою та явно вираженою стадіями МетС встановлено нижчий рівень sRAGE порівняно з їхніми дітьми, у яких спостерігали лише тенденцію до його падіння. Кількість sRAGE корелює з чутливістю до інсуліну та показником BM (індекс маси тіла) I /маса тіла. Різниці в концентрації КМЛ по групах не знайдено. Висновки. Метаболічний синдром пов'язаний із зниженням рівня sRAGE у матерів. Показано тенденцию до зменшення кількості sRAGE у їхніх дітей. Нормоглікемія у дітей, у матерів яких визначено МетС, підтримується вищим рівнем інсуліну. Ключові слова: метаболічний синдром, пара мати–дитина, QUICKI, sRAGE, резистентність до інсуліну, карбоксиметиллізин.Цель. У пациентов пожилого возраста развитие метаболического синдрома (МетС) ассоциировано с низким уровнем циркулирующего растворимого рецептора для конечных продуктов полного гликозилирования (sRAGE). Цель этой работы состояла в поиске ответа на вопрос, проявляется ли данное явление в раннем детстве? Методы. Исследованы 73 матери и 77 детей в возрасте от четырех до 12 месяцев. В зависимости от присутствия компонентов МетС матерей разделили на три группы: отрицательная (n = 32) – без компонентов МетС; с начальной стадией МетС (резистентность к инсулину + один признак МетС, n = 27) и с явно выраженным МетС (n = 14). У матерей и детей определяли уровень концентрации sRAGE и карбоксиметиллизина (КМЛ). Результаты. У матерей с начальной и явно выраженной стадиями МетС выявлен более низкий уровень sRAGE, в то время как у их детей наблюдалась лишь тенденция к его снижению. Количество sRAGEкоррелирует с чувствительностью к инсулину и показателем BM (индекс массы тела) I/масса тела. Разницы в концентрации КМЛ по группам не установлено. Выводы. Метаболический синдром связан со снижением уровня sRAGE у матерей. Показана тенденция к уменьшению количества sRAGE у их детей. Нормогликемия у детей, у матерей которых обнаружен МетС, поддерживается более высоким уровнем инсулина. Ключевые слова: метаболический синдром, пара мать–ребенок, QUICKI, sRAGE, резистентность к инсулину, карбоксиметиллизин

Untangling hotel industry’s inefficiency: An SFA approach applied to a renowned Portuguese hotel chain

The present paper explores the technical efficiency of four hotels from Teixeira Duarte Group - a renowned Portuguese hotel chain. An efficiency ranking is established from these four hotel units located in Portugal using Stochastic Frontier Analysis. This methodology allows to discriminate between measurement error and systematic inefficiencies in the estimation process enabling to investigate the main inefficiency causes. Several suggestions concerning efficiency improvement are undertaken for each hotel studied.info:eu-repo/semantics/publishedVersio