Previous work, mostly published, developed two-shell recursive trading systems. An inner-shell of Canonical Momenta Indicators (CMI) is adaptively fit to incoming market data. A parameterized trading-rule outer-shell uses the global optimization code Adaptive Simulated Annealing (ASA) to fit the...

The essential math-physics and associated numerical algorithms underlying a reasonable approach to trading a portfolio of options (PO) is outlined. A description is given of risk- slides, asset disbursement, dynamic balancing, and value indicators

Motivated by path-integral numerical solutions of diffusion processes, PATHINT, we present a new tree algorithm, PATHTREE, which permits extremely fast accurate computation of probability distributions of a large class of general nonlinear diffusion processes

We describe an end-to-end real-time Samp;P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive...

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic...

The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic...

We present empirical evidence for considering volatility of Eurodollar futures as a stochastic process, requiring a generalization of the standard Black-Scholes (BS) model which treats volatility as a constant. We use a previous development of a statistical mechanics of financial markets (SMFM)...

A paradigm of statistical mechanics of financial markets (SMFM) using nonlinear nonequilibrium algorithms, first published in L. Ingber, Mathematical Modelling, 5, 343-361 (1984), is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm,...

Previous development of a statistical mechanics of financial markets (SMFM) is summarized in the context of generalizing a Black-Scholes model of options. Some previously published numerical issues and applications are highlighted

There are several kinds of non-invasive imaging methods that are used to collect data from the brain, e.g., EEG, MEG, PET, SPECT, fMRI, etc. It is difficult to get resolution of information processing using any one of these methods. Approaches to integrate data sources may help to get better...