Simultaneously long short trading in discrete and continuous time
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- 作者：Michael Heinrich Baumann ; michael.baumann@uni-bayreuth.de ; Lars Grü ; ne lars.gruene@uni-bayreuth.de
- 关键词：Feedback-based stock trading ; Technical trading rules ; Simultaneously long short strategy ; Sampled-data systems ; Lé ; vy processes
- 刊名：Systems & Control Letters
- 出版年：2017
- 出版时间：January 2017
- 年：2017
- 卷：99
- 期：Complete
- 页码：85-89
- 全文大小：413 K
- 卷排序：99
文摘
Simultaneously long short (SLS) feedback trading strategies are known to yield positive expected gain by zero initial investment for price processes governed by, e.g., geometric Brownian motion or Merton’s jump diffusion model. In this paper, we generalize these results to positive prices with stochastically independent multiplicative growth and constant trend in discrete and continuous time as well as for sampled-data systems and show that in all cases the SLS strategies’ expected gain does not depend on the price model but only on the trend.