PT  - JOURNAL ARTICLE
AU  - Germán Creamer
AU  - Yoav Freund
TI  - A Boosting Approach for Automated Trading
DP  - 2007 Mar 20
TA  - Trading
PG  - 67--78
VI  - 2007
IP  - 1
4099  - http://guides.pm-research.com/content/2007/1/67.short
4100  - http://guides.pm-research.com/content/2007/1/67.full
AB  - This article describes an algorithm for short-term technical trading. The algorithm was tested in the context of the Penn-Lehman Automated Trading (PLAT) competition. The algorithm is based on three main ideas. The first idea is to use a combination of technical indicators to predict the daily trend of the stock, the combination is optimized using a boosting algorithm. The second idea is to use the constant rebalanced portfolios within the day in order to take advantage of market volatility without increasing risk. The third idea is to use limit orders rather than market orders in order to minimize transaction costs.