List of Figures
1.1 Book organization 8
8.1 A motivating example to illustrate the limitation of Euclidean
distance 49
12.1 Structure of the OLPS toolbox 96
13.1 Trends of cumulative wealth achieved by various strategies on the
six datasets 106
13.2 Risk and risk-adjusted performance of various strategies on the six
datasets 108
13.3 Parameter sensitivity of CORN-U with respect to ρ with fixed W
(W = 5) 110
13.4 Parameter sensitivity of CORN-U with respect to w(W)with
fixed ρ (ρ = 0.1) 111
13.5 Parameter sensitivity of PAMR with respect to 112
13.6 Parameter sensitivity of PAMR-1 (or PAMR-2) with respect to C
with fixed ( = 0.5) 113
13.7 Parameter sensitivity of CWMR with respect to 115
13.8 Parameter sensitivity of OLMAR-1 with respect to with fixed w
(w = 5) 116
13.9 Parameter sensitivity of OLMAR-1 with respect to w with fixed
( = 10) 117
13.10 Parameter sensitivity of OLMAR-2 with respect to α with fixed
( = 10) 118
13.11 Scalability of the proposed strategies with respect to the transaction
cost rate (γ)119
13.12 Distributions of portfolio weights 124
A.1 Starting the Trading Manager 148
A.2 Various components of the Algorithm Analyser 149
A.3 Various components of the Experimenter 150
A.4 Results Manager for Algorithm Analyser 151
A.5 Results Manager for Experimenter 152
A.6 Configuration Manager 153
ix
T&F Cat #K23731 — K23731_C000 — page ix — 10/13/2015 — 16:23
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