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Systematic and Automated Option Trading (Collection) by Sergey Izraylevich, Ph.D., Vadim Tsudikman

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chapter 1. General Presentation and Review of Criteria Properties

1.1 The Main Tool for Solving the Selection Problem

At any given moment the market contains a considerable number of trading alternatives existing in the form of option combinations that correspond to various strategies and different underlying assets. Within the concept of the systematic approach, we present this set (called “the initial set”) as a matrix with lines corresponding to underlying assets and columns—to option strategies. One matrix cell may contain several combinations corresponding to the same strategy and underlying asset. In this case the two-dimensional matrix turns into a three-dimensional one. What possible number of elements can be contained in this matrix ...

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