at Google ScholarTitle data
Baumann, Michael Heinrich ; Grüne, Lars:
Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices.
2016
Event: The XVII Workshop on Quantitative Finance - Pisa 2016
, 28.-29.01.2016
, Pisa.
(Conference item: Workshop
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| Project title: |
Project's official title Project's id Promotionsstipendium No information |
|---|---|
| Project financing: |
Bundesministerium für Bildung und Forschung Hanns-Seidel-Stiftung The work of Michael Heinrich Baumann is supported by a scholarship of Hanns Seidel Stiftung e.V. (HSS) by means of Bundesministerium für Bildung und Forschung (BMBF). |
Abstract in another language
We study the simultaneous long short (SLS) feedback trading strategy. This strategy is known to yield expected positive gain for zero start investment if the underlying stock returns are governed by a geometric Brownian motion or by Merton’s jump diffusion model. In this paper, we generalize these results to a set of price models called essentially linearly representable prices. Particularly, we show that the SLS trader’s expected gain does not depend on the chosen price model but only on the risk-free interest rate and that it is always positive.
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Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices. (deposited 14 Nov 2015 22:00)
- Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices. (deposited 06 Oct 2016 09:58) [Currently Displayed]