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

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.