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On Feedback Trading, Stochastic Differential Equations, and Fubini’s Theorem

Title data

Baumann, Michael Heinrich:
On Feedback Trading, Stochastic Differential Equations, and Fubini’s Theorem.
Event: The 2021 INFORMS Annual Meeting , 24.-27. Okt. 2021 , Anaheim, California, United States, online.
(Conference item: Conference , Speech )

Project information

Project financing: Bundesministerium für Bildung und Forschung

Abstract in another language

For feedback trading strategies, which are model free and based on control techniques, many performance results are published. These results are typically obtained for specific strategies, e.g., the Simultaneously Long Short strategy or its variations, and specific underlying price dynamics such as geometric Brownian motions, Merton’s Jump Diffusion Model, abstract semimartingales, tree models. In this talk, we present results for price process definitions as they are used in finance, i.e. via (systems of) stochastic differential equations (SDEs), which might not have Brownian motions as integrators. When analyzing feedback rules on prices governed by such SDEs, calculations become more involved since Itô
integrals with non-Brownian integrators and expectations have to be interchanged. To this end, a relatively new stochastic Fubini-type theorem is presented.

Further data

Item Type: Conference item (Speech)
Refereed: Yes
Additional notes: This talk was invited by a session chair
Keywords: Fubini; Itô; SLS trading; Feedback-based trading; Stochastic Integration
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 - International Economics and Finance
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Date Deposited: 10 Jan 2022 14:11
Last Modified: 10 Jan 2022 14:11
URI: https://eref.uni-bayreuth.de/id/eprint/68268