Probability distortion of truncated quantile critics for stock trading environment

• المؤلف الرئيسي: Foo, Marcus Jun Rong
• مؤلفون آخرون: Patrick Pun Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2023
• الموضوعات: Business::Finance::Asset allocation; Engineering::Computer science and engineering::Mathematics of computing
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/166624

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....