Modeling Maximum Trading Profits with C++

Index

A

Abstract

class, 14

contract, 7

data types. See Programming

factory, 17

Account

average logarithmic increment or decrement of the, 60

average value E(A_i+1), 74

equity, 2, 58, 71, 74, 81, 84, 155, 192

evolution equation, 62, 79. See also

Function evolve_account

evolution equation with random P&L, 71, 79

final value or size, 59, 63, 66

gains or loses, 6

initial cash balance, 183, 193

initial value A₀, 56–59, 67, 156

management, 62

maximum value, 173.

See also Function

max_min_account_value_alg

minimum value, 57, 173.

See also Function

max_min_account_value_alg

minimal A₀, 83–85, 121.

See also Function

potential_profit_min_account_alg

return on, 173

self-financing, 57–58, 61–62, 81, 83, 91

surviving b, 67

undercapitalized, 69

value or size, 2, 24, 56–59, 62, 66–67, 69, 71, 74, 79, 81, 90, 100, 106, 110

Account. See Class Account

Action(s), 22–23, 74–75, 87, 89, 90, 105–106,

112–113, 121, 144, 160, 192.

See also Class Strategy

buy, sell, do nothing, 22–24, 87, 90, 100, 105

net strategy, 23

offsetting, 90

vector of. See Vector

versus the time of transaction, 154

Aggregation, 12

Algorithm(s)

first P&L reserve, xii, 89, 105–108, 122, 149.

See also Function

first_pl_reserve_alg,

first_pl_reserve_prime_alg

for generation of random numbers, 77

for optimizers and solvers, 77

for the computerized simulation of chess, 125

genetic, 222

l-, xi, 39, 44–51, 54, 81, 83–84, 89, 91, 104, 122, 149, 222.

See also Function

potential_profit_lalg

Pardo's, xi, 17–18, 20, 21, 151. See also

Function ...