Self-Adapting Regime-Switching Models for Automated Financial Trading Systems
Research Project
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01.11.2011
- 31.10.2013
This project has two main objectives: (i) providing a reliable method for continuous calibration of forecasting models for financial assets which are used for automated trading systems; and (ii) assessing how well such forecasting methods could perform in the Swiss market. The former problem will be approached with innovative search and optimization techniques. The latter will be tested using historical data in a traditional textit{ceteris paribus} analysis. Additional tests are planned using an artificial market to assess the market impact of these strategies and whether the identified strategies could have a potentially destabilizing effect on the market.
