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Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices

URN to cite this document: urn:nbn:de:bvb:703-epub-2519-8

Title data

Baumann, Michael Heinrich ; Grüne, Lars:
Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices.
University of Bayreuth, Department of Mathematics
Bayreuth , 2015 . - 5 S.

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Project financing: Bundesministerium für Bildung und Forschung
Hanns-Seidel-Stiftung

Abstract

We study the simultaneous long short (SLS) feedback trading strategy. This strategy is known to yield expected positive gain for zero start investment if the underlying stock returns are governed by a geometric Brownian motion or by Merton’s jump diffusion model. In this paper, we generalize these results to a set of price models called essentially linearly representable prices. Particularly, we show that the SLS trader’s expected gain does not depend on the chosen price model but only on the risk-free interest rate and that it is always positive.

Further data

Item Type: Preprint, postprint
Keywords: feedback-based trading strategy; essentially linearly representable price; robust positive expectation property; simultaneous long short trading rule; Merton's jump diffusion model; geometric Brownian motion; stochastic differential equation
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Institutions of the University: Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance
Profile Fields
Profile Fields > Advanced Fields
Profile Fields > Advanced Fields > Nonlinear Dynamics
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-2519-8
Date Deposited: 11 Nov 2015 09:45
Last Modified: 28 Mar 2019 15:05
URI: https://epub.uni-bayreuth.de/id/eprint/2519

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