Simultaneously long short trading in discrete and continuous time

被引：11

作者：

Baumann, Michael Heinrich ^{[1
]}

Gruene, Lars ^{[1
]}

机构：

[1] Univ Bayreuth UBT, Dept Math, Univ Str 30, D-95447 Bayreuth, Germany

来源：

SYSTEMS & CONTROL LETTERS | 2017年 / 99卷

关键词：

Feedback-based stock trading; Technical trading rules; Simultaneously long short strategy; Sampled-data systems; Levy processes; STRATEGIES;

D O I：

10.1016/j.sysconle.2016.11.011

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Simultaneously long short (SLS) feedback trading strategies are known to yield positive expected gain by zero initial investment for price processes governed by, e.g., geometric Brownian motion or Merton's jump diffusion model. In this paper, we generalize these results to positive prices with stochastically independent multiplicative growth and constant trend in discrete and continuous time as well as for sampled-data systems and show that in all cases the SLS strategies' expected gain does not depend on the price model but only on the trend. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：85 / 89

页数：5

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