How Long to Read Multi-period Trading Via Convex Optimization

How Long Does it Take to Read Multi-period Trading Via Convex Optimization?

It takes the average reader 1 hour and 17 minutes to read Multi-period Trading Via Convex Optimization by Stephen P. Boyd

Assuming a reading speed of 250 words per minute. Learn more

Description

We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex optimization problem that trades off expected return, risk, transaction cost and holding cost such as the borrowing cost for shorting assets. We then describe a multi-period version of the trading method, where optimization is used to plan a sequence of trades, with only the first one executed, using estimates of future quantities that are unknown when the trades are chosen. The single period method traces back to Markowitz; the multi-period methods trace back to model predictive control. Our contribution is to describe the single-period and multi-period methods in one simple framework, giving a clear description of the development and the approximations made. In this paper, we do not address a critical component in a trading algorithm, the predictions or forecasts of future quantities. The methods we describe in this paper can be thought of as good ways to exploit predictions, no matter how they are made. We have also developed a companion open-source software library that implements many of the ideas and methods described in the paper.

How long is Multi-period Trading Via Convex Optimization?

Multi-period Trading Via Convex Optimization by Stephen P. Boyd is 76 pages long, and a total of 19,456 words.

This makes it 26% the length of the average book. It also has 24% more words than the average book.

How Long Does it Take to Read Multi-period Trading Via Convex Optimization Aloud?

The average oral reading speed is 183 words per minute. This means it takes 1 hour and 46 minutes to read Multi-period Trading Via Convex Optimization aloud.

What Reading Level is Multi-period Trading Via Convex Optimization?

Multi-period Trading Via Convex Optimization is suitable for students ages 8 and up.

Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.

When deciding what to show young students always use your best judgement and consult a professional.

Where Can I Buy Multi-period Trading Via Convex Optimization?

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