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On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous

URN to cite this document: urn:nbn:de:bvb:703-epub-2495-5

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.

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Available under License German copyright law. This contribution is freely accessible with the consent of the copyright holder on the basis of an (DFG-funded) alliance or national license. The document may be used free of charge for personal use. In addition, the reproduction, editing, distribution and any kind of exploitation require the written consent of the respective rights holder.
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Project title:
Project's official title
Project's id
Promotionsstipendium
No information
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
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
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