Monday, 29 August 2011

Week 5 Semester 2

This week I met with Sanjay and he suggested adding a norm squared term to the Liquidity Algorithmic-Trading Frequency regression model to reduce the overfitting in the model.

Also, he asked me to start conducting the dark pool simulation. In the dark pool simulation I will be simulating dark pools using a Poisson Distribution and I will have a Person class that will conduct a multi armed bandit algorithm in order to optimize allocation across dark pools in the minimal time.

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