Titlebar

Export bibliographic data
Literature by the same author
plus on the publication server
plus at Google Scholar

 

Simultaneously long short trading in discrete and continuous time - AudioSlides

Title data

Baumann, Michael Heinrich ; Grüne, Lars:
Simultaneously long short trading in discrete and continuous time - AudioSlides.
: Elsevier AudioSlides , 2017 . - 37 slides, 04:59 min

Official URL: Volltext

Project information

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

Project financing: 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 in another language

- 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

Further data

Item Type: Other (Film, video, DVD, TV broadcast, etc.)
Institutions of the University: 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)
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Profile Fields
Profile Fields > Advanced Fields
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: 14 Feb 2017 10:12
Last Modified: 14 Feb 2017 10:12
URI: https://eref.uni-bayreuth.de/id/eprint/36075