Comments (3)
this I suppose would make it harder to compute mu.
It would be a different way of calculating mu for sure, but not necessarily harder. What becomes more difficult might be the implementations of the back-test simulation engine and the live-trading logic.
Side note: training a machine with harsher conditions (a more pessimistic mu for example) is desirable if you want the machine to be more cautious to market risks.
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But wouldn't it be more efficient to exchange the second and third assets directly,
That will require the exchange to have the trading pair for these two assets. For most pairs, they are not directly tradable on Poloniex or many other major exchanges. However, in forex markets, mutual pairs are more common.
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True, I did not consider that. So if a pair exists it could be used, but this I suppose would make it harder to compute mu.
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