英文标题：
《Optimal Trading Strategies as Measures of Market Disequilibrium》
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作者：
Valerii Salov
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最新提交年份：
2013
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英文摘要：
  For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales records posted by the Chicago Mercantile Exchange Group for the futures traded on Globex. The Weibull, Kumaraswamy, Riemann and Hurwitz Zeta, parabolic, Zipf-Mandelbrot distributions are tested for the a- and b-increments. A discrete version of the Fisher-Tippett distribution is suggested for approximating the extreme b-increments. Kolmogorov and Uspenskii classification of stochastic, typical, and chaotic random sequences is reviewed with regard to the futures price limits. Non-parametric L1 and log-likelihood tests are applied to check dependencies between the a- and b-increments. The maximum profit strategies and optimal trading elements are suggested as measures of frequency and magnitude of the market offers and disequilibrium. Empirical cumulative distribution functions of optimal profits are reported. A few classical papers are reviewed with more details in order to trace the origin and foundation of modern finance.
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中文摘要：
对于高频交易量的分类，等待时间、交易日内和交易日之间的价格增量称为a、b和c增量。a-b-c增量的统计数据是根据芝加哥商品交易所集团发布的在Globex上交易的期货的时间和销售记录计算的。对a增量和b增量的Weibull、Kumaraswamy、Riemann和Hurwitz Zeta、抛物线、Zipf-Mandelbrot分布进行了测试。建议采用离散形式的Fisher-Tippett分布来近似极端b增量。回顾了Kolmogorov和Uspenskii关于期货价格限制的随机、典型和混沌随机序列分类。非参数L1和对数似然检验用于检查a增量和b增量之间的相关性。本文提出了最大利润策略和最优交易要素，作为衡量市场报价和不均衡的频率和幅度的指标。报告了最优利润的经验累积分布函数。为了追溯现代金融的起源和基础，对一些经典文献进行了更详细的回顾。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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