Multi-asset Allocation Based on Financial Market Microstructure Model
Financial market microstructure model is a phenomenon model which describes financial markets based the microstructure theory.The initial values of the unknown parameters and/or states of the model have a great impact on the model identification,so an estimation method which combines genetic algorithm,Kalman filter and maximum likelihood method is presented to estimate the unknown parameters and/or states of the microstructure model.Based on the identified model and the indirectly obtained market excess demand instead of the prediction for price,a dynamic multi-asset allocation strategy is proposed.Case analysis for a combination asset of two stocks and currency shows that the total assets under the control of dynamic allocation strategy are much more than those without allocation control,which proves that the proposed parameter estimate and asset allocation method are feasible and effective.
Market Microstructure Model excess demand market liquidity multi-asset allocation Genetic Algorithm
Yemei Qin Hui Peng Yanhui Xi Xiaohong Chen
School of Information Science and Engineering,Central South University,Changsha 410083,China;Hunan E School of Information Science and Engineering,Central South University,Changsha 410083,China;Collabo College of Electrical and Information Engineering,Changsha University of Science and Technology,Chan School of Business,Central South University,Changsha 410083,China
国际会议
长沙
英文
4276-4281
2014-05-31（万方平台首次上网日期，不代表论文的发表时间）