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Simultaneously Long Short Trading in Discrete and Continuous Time

URN to cite this document: urn:nbn:de:bvb:703-epub-2899-2

Title data

Baumann, Michael Heinrich ; Grüne, Lars:
Simultaneously Long Short Trading in Discrete and Continuous Time.
University of Bayreuth, Department of Mathematics
Bayreuth , 2016 . - 14 S.

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Project information

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

Abstract

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.

Further data

Item Type:	Preprint, postprint
Additional notes (visible to public):	erschienen in: Systems & Control Letters. Bd. 99 (2017) . - S. 85-89. DOI: https://doi.org/10.1016/j.sysconle.2016.11.011
Keywords:	Feedback-based Stock Trading; Technical Trading Rules; Simultaneously Long Short Strategy; Sampled-data Systems; Lévy Processes
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-2899-2
Date Deposited:	05 Oct 2016 09:21
Last Modified:	28 May 2021 06:27
URI:	https://epub.uni-bayreuth.de/id/eprint/2899

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