Thomas Johnson

FactorWave

CHICAGO, IL 60647

United States

http://www.factorwave.com

Northwestern University - Kellogg School of Management

2001 Sheridan Road

Evanston, IL 60208

United States

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Scholarly Papers (1)

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Approximating Optimal Trading Strategies Under Parameter Uncertainty: A Monte Carlo Approach

Number of pages: 33 Posted: 04 Jan 2010
Thomas Johnson
FactorWave
Downloads 613 (61,448)

Abstract:

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kelly criterion, particle filters, monte carlo, optimal trading, ornstein-uhlenbeck