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 1872-7956
DOI: https://doi.org/10.1016/j.sysconle.2016.11.011
This is the latest version of this item.
Project information
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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
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Simultaneously Long Short Trading in Discrete and Continuous Time. (deposited 08 Oct 2016 21:00)
- Simultaneously long short trading in discrete and continuous time. (deposited 16 Jan 2017 12:32) [Currently Displayed]