A neurodynamic approach for solving portfolio optimisation problem in high-frequency trading based on charnes-chooper transformation

This study addresses real-time portfolio optimisation in high-frequency trading by formulating it as a single-ratio fractional programming problem. By utilising the Charnes-Cooper transformation, we convert fractional programming into non-fractional programming. Subsequently, we introduce a projecti...

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Vydáno v:International journal of systems science Ročník 56; číslo 7; s. 1561 - 1576
Hlavní autoři: Zhu, Wenli, Chen, Jia, Hu, Jin
Médium: Journal Article
Jazyk:angličtina
Vydáno: London Taylor & Francis 19.05.2025
Taylor & Francis Ltd
Témata:
Charnes-Cooper transformation
Mathematical programming
Neural networks
neurodynamic optimisation
Optimization
Portfolio optimisation
Real time
Systems science
ISSN:0020-7721, 1464-5319
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Shrnutí:This study addresses real-time portfolio optimisation in high-frequency trading by formulating it as a single-ratio fractional programming problem. By utilising the Charnes-Cooper transformation, we convert fractional programming into non-fractional programming. Subsequently, we introduce a projection neural network to solve this non-fractional programming efficiently. Theoretical analysis substantiates that our neural network model exhibits exponential convergence to the optimal solution of the problem, underpinning its efficacy. The numerical simulations validate the reliability and efficiency of the obtained results.
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ISSN:0020-7721
1464-5319
DOI:10.1080/00207721.2024.2428844