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Simultaneously Long Short Trading Strategies When Price is Governed by Merton's Jump Diffusion Process

Title data

Baumann, Michael Heinrich:
Simultaneously Long Short Trading Strategies When Price is Governed by Merton's Jump Diffusion Process.
2015
Event: Prof. B. Ross Barmish's Skype Seminar , 15.09.2015 , Via Skype among others in Bayreuth, Germany, and Madison, WI, USA.
(Conference item: Lecture series , Speech )

Project information

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

Abstract in another language

A lot of work was done on feedback trading. There, it is shown that for so-called simultaneously long short strategies, gains are positive for continuously differentiable prices and expected ones are positive for geometric Brownian motion prices. But, both models are jump-less. This work shows that if the price is governed by Merton's jump diffusion model the expected gain is still positive and depends neither on intensity nor on kind or size of the jumps.

Further data

Item Type: Conference item (Speech)
Refereed: No
Additional notes: Skype Seminar
Audience (among others): Prof. B. Ross Barmish (organizer), Prof. James A. Primbs, Prof. Lars Grüne
Keywords: Feedback-based Stock Trading; Technical Trading Rules; Simultaneously Long Short Strategy; Merton's Jump Diffusion Process
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I
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
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
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: 23 Oct 2017 11:45
Last Modified: 23 Oct 2017 11:45
URI: https://eref.uni-bayreuth.de/id/eprint/40137