کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
698235 | 890399 | 2008 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trading a mean-reverting asset: Buy low and sell high
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موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper is concerned with an optimal trading (buy and sell) rule. The underlying asset price is governed by a mean-reverting model. The objective is to buy and sell the asset so as to maximize the overall return. Slippage cost is imposed on each transaction. The associated HJB equations (quasi-variational inequalities) are used to characterize the value functions. It is shown that the solution to the original optimal stopping problem can be obtained by solving two quasi-algebraic equations. Sufficient conditions are given in the form of a verification theorem. A numerical example is reported to demonstrate the results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Automatica - Volume 44, Issue 6, June 2008, Pages 1511–1518
Journal: Automatica - Volume 44, Issue 6, June 2008, Pages 1511–1518
نویسندگان
Hanqin Zhang, Qing Zhang,