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On the Risks of Feedback-Trading

Title data

Baumann, Michael Heinrich:
On the Risks of Feedback-Trading.
Event: 25th International Symposium on Mathematical Theory of Networks and Systems , 12-16 September 2022 , University of Bayreuth.
(Conference item: Conference , Speech )

Official URL: Volltext

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Abstract in another language

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.

Further data

Item Type: Conference item (Speech)
Refereed: Yes
Keywords: Feedback Trading; Financial Mathematics; Risk Measures; Skewness; Control-based
Trading Strategies; Discretization; Simultaneously Long Short Trading; Stochastic Processes
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Central research institutes > Bayreuth Research Center for Modeling and Simulation - MODUS
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Date Deposited: 26 Jul 2023 06:36
Last Modified: 26 Jul 2023 06:36