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Multi-asset allocation based on financial market microstructure model

机译：基于金融市场微观结构模型的多资产分配

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摘要

Financial market microstructure model is a phenomenon model which describes financial markets based the microstructure theory. The initial values of the unknown parameters and/or states of the model have a great impact on the model identification, so an estimation method which combines genetic algorithm, Kalman filter and maximum likelihood method is presented to estimate the unknown parameters and/or states of the microstructure model. Based on the identified model and the indirectly obtained market excess demand instead of the prediction for price, a dynamic multi-asset allocation strategy is proposed. Case analysis for a combination asset of two stocks and currency shows that the total assets under the control of dynamic allocation strategy are much more than those without allocation control, which proves that the proposed parameter estimate and asset allocation method are feasible and effective.
机译：金融市场微观结构模型是一种基于微观结构理论描述金融市场的现象模型。模型未知参数和/或状态的初始值对模型识别有很大影响，因此提出了一种结合遗传算法，卡尔曼滤波和最大似然法的估计方法来估计模型的未知参数和/或状态。微观结构模型。基于确定的模型和间接获得的市场过剩需求，而不是价格的预测，提出了一种动态的多资产分配策略。两种股票和一种货币组合资产的案例分析表明，动态分配策略控制下的总资产比没有分配控制的资产多得多，证明了所提出的参数估计和资产分配方法是可行和有效的。

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