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Simultaneously long short trading in discrete and continuous time

Title data

Baumann, Michael Heinrich ; Grüne, Lars:
Simultaneously long short trading in discrete and continuous time.
In: Systems & Control Letters. Vol. 99 (2017) . - pp. 85-89.
ISSN 0167-6911
DOI: https://doi.org/10.1016/j.sysconle.2016.11.011

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Project information

Project title:
Project's official titleProject's id
Promotionsstipendium der Hanns-Seidel-Stiftung e.V. (HSS) aus Mitteln des Bundesministeriums für Bildung und Forschung (BMBF).No information

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

Abstract in another language

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: Article in a journal
Refereed: Yes
Keywords: Feedback-based stock trading; Technical trading rules; Simultaneously long short strategy; Sampled-data systems; Lévy processes
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: 16 Jan 2017 12:32
Last Modified: 16 Jan 2017 12:32
URI: https://eref.uni-bayreuth.de/id/eprint/35607

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