follows fractional Brownian motion. Without trading costs, risk-adjusted profits are linear in the trading horizon and rise … it approaches one. Trading costs penalize numerous portfolio updates from short-lived signals, leading to a finite … trading frequency, which can be chosen so that the effect of trading costs is arbitrarily small, depending on the required …

profitability of trading strategies devised upon machine learning techniques (e.g., linear models, random forests, and support … validation and test periods. The classification and regression methods use attributes from trading and network activity for the … out of 18 individual models have success rates of less than 50%. The trading strategies are built on model assembling. The …

We develop a rational model of trading behavior in which the agents gradually learn about their ability to trade, and … exit after poor trading performance. We demonstrate that it is optimal for experienced traders to "procrastinate" and … decisions produce non-trivial and non-monotonic population-wide linkages between performance, exits, and trading experience …