Biased roulette wheel: A Quantitative Trading Strategy Approach

• Autor: Salirrosas Mart nez, Giancarlo
• Formato: documento de trabajo
• Fecha de Publicación: 2016
• Institución: Universidad San Ignacio de Loyola
• Repositorio: USIL-Institucional
• Lenguaje: inglés
• OAI Identifier: oai:repositorio.usil.edu.pe:20.500.14005/2385
• Enlace del recurso: https://hdl.handle.net/20.500.14005/2385
• Nivel de acceso: acceso abierto
• Materia: Ingeniería financiera; Programación financiera; Modelos matemáticos; Financial engineering; Programming Models; Mathematical and Simulation Modeling

The purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative nance, in order to assess the pro tability of the strategy in the short term. The tools of backtesting and walk-forward optimization were used to achieve such task. The data has been generated from a real European roulette wheel from an on-line casino based in Riga, Latvia. It has been recorded 10,980 spins1 and sent to the computer through a voice-to-text software for further numerical analysis in R. It has been observed that the probabilities of occurrence of the numbers at the roulette wheel follows an Ornstein-Uhlenbeck process. Moreover, it is shown that a at betting system against Kelly Criterion was more pro table in the short term.