Probability distortion of truncated quantile critics for stock trading environment

• Main Author: Foo, Marcus Jun Rong
• Other Authors: Patrick Pun Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2023
• Subjects: Business::Finance::Asset allocation; Engineering::Computer science and engineering::Mathematics of computing
• Online Access: https://hdl.handle.net/10356/166624
• Institution: Nanyang Technological University

This paper proposes the use of Cumulative Prospect Theory (CPT) in combination with Truncated Quantile Critics (TQC) for stock trading. CPT is a popular model of decision making under risk that has been shown to better describe human behavior than traditional models such as expected utility theory....