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

Title data

Baumann, Michael Heinrich:
On Stock Trading Via Feedback Control When Underlying Stock Returns Are Discontinuous.
In: IEEE Transactions on Automatic Control. Vol. PP (2 September 2016) Issue 99 . - pp. 1-6.
ISSN 1558-2523
DOI: https://doi.org/10.1109/TAC.2016.2605743

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Project information

Project title:
Project's official titleProject's id
PromotionsstipendiumNo information

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

Abstract in another language

Trading rules based on feedback laws have recently attracted significant attention in the control community. One of the main results in this area states that the gain obtained by so-called simultaneously long short strategies has positive expectation for price processes governed by geometric Brownian motion. This paper shows that this result extends to Merton’s jump diffusion model. Particularly, we show that the expected total profit is invariant to the jumps and so still positive.

Further data

Item Type: Article in a journal
Refereed: Yes
Keywords: Feedback-based Stock Trading; Technical Trading Rules; Simultaneously Long Short Strategy; Merton’s Jump Diffusion Process
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
Profile Fields
Profile Fields > Advanced Fields
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Research Institutions
Research Institutions > Research Centres
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Date Deposited: 06 Oct 2016 10:04
Last Modified: 01 Oct 2018 10:32
URI: https://eref.uni-bayreuth.de/id/eprint/34827

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