{"id":"https://openalex.org/W2476932471","doi":"https://doi.org/10.1007/978-3-319-39426-8_33","title":"Portfolio of Global Futures Algorithmic Trading Strategies for Best Out-of-Sample Performance","display_name":"Portfolio of Global Futures Algorithmic Trading Strategies for Best Out-of-Sample Performance","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W2476932471","doi":"https://doi.org/10.1007/978-3-319-39426-8_33","mag":"2476932471"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-319-39426-8_33","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-39426-8_33","pdf_url":null,"source":{"id":"https://openalex.org/S4210177767","display_name":"Lecture notes in business information processing","issn_l":"1865-1348","issn":["1865-1348","1865-1356"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Business Information Processing","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049557351","display_name":"Aistis Raudys","orcid":"https://orcid.org/0000-0002-0139-6014"},"institutions":[{"id":"https://openalex.org/I173212132","display_name":"Vilnius University","ror":"https://ror.org/03nadee84","country_code":"LT","type":"education","lineage":["https://openalex.org/I173212132"]}],"countries":["LT"],"is_corresponding":true,"raw_author_name":"Aistis Raudys","raw_affiliation_strings":["Faculty of Mathematics and Informatics, Vilnius University, Didlaukio 47, 08303, Vilnius, Lithuania"],"affiliations":[{"raw_affiliation_string":"Faculty of Mathematics and Informatics, Vilnius University, Didlaukio 47, 08303, Vilnius, Lithuania","institution_ids":["https://openalex.org/I173212132"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5049557351"],"corresponding_institution_ids":["https://openalex.org/I173212132"],"apc_list":null,"apc_paid":null,"fwci":3.6674,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.91806569,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"424","last_page":"435"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9979000091552734,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9939000010490417,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.9509519934654236},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.7598406076431274},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7291735410690308},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.6456339359283447},{"id":"https://openalex.org/keywords/sample","display_name":"Sample (material)","score":0.6227380633354187},{"id":"https://openalex.org/keywords/benchmark","display_name":"Benchmark (surveying)","score":0.5833377838134766},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5404845476150513},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5315352082252502},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5119043588638306},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.4104993939399719},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.32301878929138184},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3148868978023529},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.0872059166431427},{"id":"https://openalex.org/keywords/cartography","display_name":"Cartography","score":0.05893644690513611}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.9509519934654236},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7598406076431274},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7291735410690308},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.6456339359283447},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.6227380633354187},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.5833377838134766},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5404845476150513},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5315352082252502},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5119043588638306},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.4104993939399719},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.32301878929138184},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3148868978023529},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0872059166431427},{"id":"https://openalex.org/C58640448","wikidata":"https://www.wikidata.org/wiki/Q42515","display_name":"Cartography","level":1,"score":0.05893644690513611},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-319-39426-8_33","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-39426-8_33","pdf_url":null,"source":{"id":"https://openalex.org/S4210177767","display_name":"Lecture notes in business information processing","issn_l":"1865-1348","issn":["1865-1348","1865-1356"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Business Information Processing","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5799999833106995}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W642509312","https://openalex.org/W1996834329","https://openalex.org/W2001847190","https://openalex.org/W2040956360","https://openalex.org/W2064067368","https://openalex.org/W2070730335","https://openalex.org/W2085079992","https://openalex.org/W2094181350","https://openalex.org/W2098486486","https://openalex.org/W2108618176","https://openalex.org/W2146713114","https://openalex.org/W2288402841","https://openalex.org/W2389292054","https://openalex.org/W2493804382","https://openalex.org/W3122540932","https://openalex.org/W3143906738","https://openalex.org/W4241584625","https://openalex.org/W4246963571"],"related_works":["https://openalex.org/W4312782506","https://openalex.org/W3124138322","https://openalex.org/W1975497619","https://openalex.org/W2061171282","https://openalex.org/W3125282527","https://openalex.org/W144950879","https://openalex.org/W2191844758","https://openalex.org/W2901006122","https://openalex.org/W2638576872","https://openalex.org/W3124322659"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
