On the Risks of Feedback-Trading

Titelangaben

Baumann, Michael Heinrich:
On the Risks of Feedback-Trading.
2022
Veranstaltung: 25th International Symposium on Mathematical Theory of Networks and Systems , 12-16 September 2022 , University of Bayreuth.
(Veranstaltungsbeitrag: Kongress/Konferenz/Symposium/Tagung , Vortrag )

Volltext

Link zum Volltext (externe URL):

Weitere URLs

Abstract

It has been shown in the literature that for certain trading strategies based on control techniques, namely for the so-called simultaneously long short strategies under relatively weak market assumptions in continuous time, the so-called robust positive expectation property holds. This means that for such strategies, if the assumptions are fulfilled, in expectation positive profits can be proven. Of course, arguments such as trading costs or trading constraints can be used when discussing these unexpected results. But there are also risks inherent in the strategies themselves, such as short-selling risks, discretization risks, or momenta. In this talk, we will present these risks and show how they can possibly be controlled.