Precision-guided investment strategies: a Kelly criterion approach to predictive betting on financial markets
El Arrag, Yassir (A.A. 2024/2025) Precision-guided investment strategies: a Kelly criterion approach to predictive betting on financial markets. Tesi di Laurea in Gambling: probability and decision, Luiss Guido Carli, relatore Hlafo Alfie Mimun, pp. 73. [Bachelor's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Probabilistic model for stock movement prediction. Data preprocessing and feature extraction. Random forest model. Model evaluation and performance. Martingales. Definitions and examples. Martingales, supermartingales, submartingales. Betting system. Optimal proportional system: the Kelly system. Application to investment strategies with predictive models. Sequence of bets as a submartingale. Optimal bet sizing using the Kelly system. Simulation and empirical validation. Simulation framework. Strategy execution. Comparison with alternative strategies. Discussion.
References
Bibliografia: pp. 63-65.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Management and Computer Science, English language (L-18) |
| Chair: | Gambling: probability and decision |
| Thesis Supervisor: | Mimun, Hlafo Alfie |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 18 Dec 2025 11:32 |
| Last Modified: | 18 Dec 2025 11:32 |
| URI: | https://tesi.luiss.it/id/eprint/44502 |
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