A Permutation-Based Mathematical Heuristic for Buy-Low-Sell-High
Buy-low-sell-high is one of the basic rules of thumb used by individuals for investment, although it is not considered to be a constructive strategy. In this paper, we show how the appropriate representation of a minute-by-minute trading time series through ordinal (i.e., permutation) patterns and t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-04-01
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| Series: | Computer Sciences & Mathematics Forum |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2813-0324/7/1/8 |
| Summary: | Buy-low-sell-high is one of the basic rules of thumb used by individuals for investment, although it is not considered to be a constructive strategy. In this paper, we show how the appropriate representation of a minute-by-minute trading time series through ordinal (i.e., permutation) patterns and the use of a simple decision heuristic may surprisingly result in significant benefits. We do not compare our proposed approach to sophisticated methods in trading but show how a mathematical model adhering to the idea of bounded rationality may result in significant benefits. |
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| ISSN: | 2813-0324 |