Multi-scale capability: A better approach to performance measurement for algorithmic trading

DOI10.3233/AF-150043zbMath1419.91580MaRDI QIDQ4586446

Ricky Cooper, Ben van Vliet, M. K. Ong

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

zbMATH Keywords

prudencealgorithmic tradingrisk-adjusted performance measureterm structure of capability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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