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12

APIN
2008

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Kernel price pattern trading

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Kernel price pattern trading

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Abstract A new approach to algorithmic trading system development is presented. This approach, Kernel Price Pattern Trading (KPPTP ), allows the practitioner to link the performance of a learned classifier (that predicts the occurrence of the price pattern P) to the profitability of the system. A positive definite kernel based distance that tries to capture the drivers of the process of price patterns formation and some results about the profitability of the system are also presented. Keywords Kernels

Alejandro Cañete, Jorge Constanzo, Luis Sal

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APIN 2008 | Price Pattern | Price Pattern Trading | Trading System Development |

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Added	08 Dec 2010
Updated	08 Dec 2010
Type	Journal
Year	2008
Where	APIN
Authors	Alejandro Cañete, Jorge Constanzo, Luis Salinas

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