EPub Bayreuth

Publications by the same author

in the repository

in Google Scholar

Bibliografische Daten exportieren

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.

[thumbnail of baumann_gruene_essentially_linearly_respresentable_prices_preprint_2015.pdf]

Format:	PDF
Name:	baumann_gruene_essentially_linearly_respresentable_prices_preprint_2015.pdf
Version:	Preprint
Available under License	German copyright law. 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.

Download (248kB)

Project information

Project title:	Project's official title Project's id Promotionsstipendium No information
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

Download Statistics

Downloads

Downloads per month over past year