Systematic and Automated Option Trading (Collection)

Chapter 2. Optimization

2.1. General Overview

The problem of selecting the optimal solution arises in all spheres of human life—on individual, corporate, and state levels. The optimization may be defined as the search for either an optimal structure of a certain object (structural optimization) or as a sequence of actions (calendar optimization). In the context of creating automated trading strategies, parametric optimization is the subject of interest. In this case the optimal solution represents a combination of parameter values.

Despite the availability of numerous sophisticated methods that have been developed recently for treating various aspects of optimization, it is still impossible to propose a universal approach that would apply equally ...