CUED Publications database

Forecasting high-frequency futures returns using online langevin dynamics

Christensen, HL and Murphy, J and Godsill, SJ (2012) Forecasting high-frequency futures returns using online langevin dynamics. IEEE Journal on Selected Topics in Signal Processing, 6. pp. 366-380. ISSN 1932-4553

Full text not available from this repository.


Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Item Type: Article
Divisions: Div F > Signal Processing and Communications
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:17
Last Modified: 09 Sep 2021 00:31
DOI: 10.1109/JSTSP.2012.2191532