Investing in future trade using Monte Carlo and Sharp methods

Abstract

The global derivatives market is a dynamically growing segment of the financial market. New financial products complicate economic relations and require new financial innovations. The emergence of a global network economy that relies on its electronic operating systems, shifts billions of dollars to the rest of the world in seconds. Global futures growth dynamics in recent years show that the most sensitive part of the financial market is developing rapidly. The low transaction costs and ease of use of these tools provide investors with plenty of opportunities for purposeful cash flow planning and the desired return. For this reason, it is very important to analyze and properly evaluate the potential price trends and trends of future derivatives. This work combines two algorithms as an investor support system: the Monte Carlo Predictive Approach, which tracks the movement of individual instruments, provides insight into buying and selling signals, market activity and inactivity, and allows for market entry time for profitable trading; the other is the Sharp method of optimizing for an efficient portfolio. Using these algorithms and their results, futures prices are forecasted and an investment portfolio with expected returns and reduced risk is created.