Examinando por Materia "Programming Models"
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- PublicaciónAcceso abiertoBiased roulette wheel: A Quantitative Trading Strategy Approach(Universidad San Ignacio de Loyola, 2016-09) Salirrosas Mart nez, GiancarloThe purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative nance, in order to assess the pro tability of the strategy in the short term. The tools of backtesting and walk-forward optimization were used to achieve such task. The data has been generated from a real European roulette wheel from an on-line casino based in Riga, Latvia. It has been recorded 10,980 spins1 and sent to the computer through a voice-to-text software for further numerical analysis in R. It has been observed that the probabilities of occurrence of the numbers at the roulette wheel follows an Ornstein-Uhlenbeck process. Moreover, it is shown that a at betting system against Kelly Criterion was more pro table in the short term.