TY - JFULL AU - Jan Zeman PY - 2009/11/ TI - Futures Trading: Design of a Strategy T2 - International Journal of Economics and Management Engineering SP - 2004 EP - 2009 VL - 3 SN - 1307-6892 UR - https://publications.waset.org/pdf/9435 PU - World Academy of Science, Engineering and Technology NX - Open Science Index 34, 2009 N2 - The paper describes the futures trading and aims to design the speculators trading strategy. The problem is formulated as the decision making task and such as is solved. The solution of the task leads to complex mathematical problems and the approximations of the decision making is demanded. Two kind of approximation are used in the paper: Monte Carlo for the multi-step prediction and iteration spread in time for the optimization. The solution is applied to the real-market data and the results of the off-line experiments are presented. ER -