Kernel price pattern trading

Abstract A new approach to algorithmic trading system development is presented. This approach, Kernel Price Pattern Trading (KPPTP), allows the practitioner to link the performance of a learned classifier (that predicts the occurrence of the price pattern P) to the profitability of the system. A positive definite kernel based distance that tries to capture the drivers of the process of price patterns formation and some results about the profitability of the system are also presented.

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