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Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized tradingby: L Ingber
Mathl. Computer Modelling (1995)
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Find related articles from these CiteULike users Find related articles with these CiteULike tags AbstractA paradigm of statistical mechanics of financial markets (SMFM) using nonlinear nonequilibrium algorithms, first published in L. Ingber, Mathematical Modelling, 5, 343-361 (1984), is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariate conditional probabilities. Canonical momenta are thereby derived and used as technical indicators in a...
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