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Baumann, Michael Heinrich ; Grüne, Lars:
Simultaneously long short trading in discrete and continuous time - AudioSlides.
:
Elsevier AudioSlides
,
2017
. -
37 slides, 04:59 min
Volltext
Angaben zu Projekten
| Projekttitel: |
Offizieller Projekttitel Projekt-ID Promotionsstipendium Ohne Angabe |
|---|---|
| Projektfinanzierung: |
Bundesministerium für Bildung und Forschung Hanns-Seidel-Stiftung The work of Michael H. Baumann is supported by a scholarship of Hanns Seidel Stiftung e.V. (HSS), funded by Bundesministerium für Bildung und Forschung (BMBF). |
Abstract
- We analyze feedback trading strategies for financial assets
- Especially, we focus on so-called simultaneously long short (SLS) strategies
- In the literature, for many price processes, e.g., geometric Brownian motion and Merton's jump diffusion model, it is shown that SLS trading yields positive expected gain with zero initial investment
- We generalize this result - in discrete time - to all positive price processes with stochastically independent multiplicative growth and constant trend
- Furthermore, we analyze a sampled-data implementation of the SLS strategy and calculate its limit for continuous time trading
- We show that the SLS strategies' expected gain does not depend on the price model but only on the trend