Abstract: The paper describes the futures trading and aims to
design the speculators trading strategy. The problem is formulated as
the decision making task and such as is solved. The solution of the
task leads to complex mathematical problems and the approximations
of the decision making is demanded. Two kind of approximation are
used in the paper: Monte Carlo for the multi-step prediction and
iteration spread in time for the optimization. The solution is applied to the real-market data and the results of the off-line experiments are
presented.