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

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chapter 7. Basic Concepts of Multicriteria Selection as Applied to Options

7.1 Introduction

In Part II, “The Main Areas of Criteria Application,” we investigated different areas of criteria application. Each criterion was considered separately as an independent valuation procedure. We ascertained that utilization of strictly formalized criteria positively influences investment potential. Although most criteria show statistically reliable predictive power, in most cases it is rather weak. Nevertheless, this small forecasting effect gives a considerable advantage to those who use it over those who ignore systematic criteria application.

The correlation between the profitability and the forecasts of any criterion is never perfect. It is usually ...

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