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1、Chapter12SystematictradingThischapterisunderconstructionandwillbecompletedinthenextversion.12.1IntroductionThroughoutthisbookwesawthattheequilibriumtheoryofmarketpricescouldnotexplainthequalitativeaspectcomingfromhumandecisionmakingprocessandtheresultingmarketpredictability.Newtoolsdeve
2、lopedtoanalysefinancialdata,suchasthewaveletanalysis(seeChapter(6))andthefractalanalysis(seeChapter(10)),highlightingthemultifractalnatureoffinancialmarkets(seeChapter(11)).Asaresult,newtheoriesemergedtoexplainfinancialmarkets,amongwhichisamultitudeofinteractingagentsformingacomplexsystemc
3、haracterisedbyahighlevelofuncertainty.Complexitytheorydealswithprocesseswherealargenumberofseeminglyindependentagentsactcoher-ently.Multipleinteractingagentsystemsaresubjecttocontagionandpropagationphenomenageneratingfeedbacksandproducingfattails.Realfeedbacksystemsinvolvelong-termcorre
4、lationsandtrendssincememoriesoflong-pasteventscanstillaffectthedecisionsmadeinthepresent.Mostcomplex,naturalsystems,canbemodelledbynonlineardifferential,ordifference,equations.Thesesystemsarecharacterisedbyahighlevelofuncertaintywhichisembed-dedintheprobabilisticstructureofmodels.Asares
5、ult,econometricscannowsupplytheempiricalfoundationofeconomics.Forinstance,sciencebeinghighlystratified,onecanbuildcomplextheoriesonthefoundationofsimplertheories.Thatis,startingwithacollectionofeconometricdata,wemodelitandanalyseit,obtainingstatisticalfactsofanempiricalnaturethatprovideu
6、swiththebuildingblocksoffuturetheoreticaldevelopment.Newtechniquescombiningelementsoflearning,evolutionandadaptationfromthefieldofComputationalIntelli-gencedeveloped,aimingatgeneratingprofitableportfoliosbyusingtechnicalanalysisindicatorsinanautomatedway.Inparticular,subjectssuchasNeuralN
7、etworks,SwarmIntelligence,FuzzySystemsandEvolutionaryComputationcanbeappliedtofinancialmarketsinavarietyofwayssuchaspredictingthefuturemovementofstock’spriceorop-timisingacollectionofinvestmentassets(fundsandportfolios).Thesetechniquesassumethatthereexistpatternsinstockreturnsan
