Title data
Baumann, Michael Heinrich:
On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous.
University of Bayreuth, Department of Mathematics
Bayreuth
,
2015
. - 16 S.
Project information
Project title: |
Project's official title Project's id Promotionsstipendium No information |
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Project financing: |
Bundesministerium für Bildung und Forschung Hanns-Seidel-Stiftung |
Abstract
A lot of work was done on feedback trading. There, it is shown that for so-called simultaneously long short strategies, gains are positive for continuously differentiable prices and expected ones are positive for geometric Brownian motion prices. But, both models are jump-less. This work shows that if the price is governed by Merton’s jump diffusion model the expected gain is still positive and depends neither on intensity nor on kind or size of the jumps.
Further data
Item Type: | Preprint, postprint |
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Additional notes (visible to public): | erschienen in:
IEEE Transactions on Automatic Control. Bd. PP (2 September 2016) Heft 99 . - S. 1-6. DOI: https://doi.org/10.1109/TAC.2016.2605743 |
Keywords: | feedback-based stock trading;
technical trading rules; simultaneously long short strategy; Merton’s jump diffusion process |
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 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 Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Economics |
Language: | English |
Originates at UBT: | Yes |
URN: | urn:nbn:de:bvb:703-epub-2495-5 |
Date Deposited: | 06 Nov 2015 10:30 |
Last Modified: | 28 May 2021 08:47 |
URI: | https://epub.uni-bayreuth.de/id/eprint/2495 |