Given a set of financial instruments with inherent characteristics at different time intervals, we are interested in finding an optimal trading rule in a high-frequency trading context. A trading rule is defined as a combination of indicators as well as an entry threshold (and potentially other trading parameters). The objective function we are trying to […]

Given a time series of returns for a portfolio of financial instruments, develop a model that accurately predicts returns which maximize profits. The objective function will take an input of financial indicators from the previous time interval and the returns from the current time interval. These indicators can explain relationships between financial instruments in the […]