کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979377 | 933340 | 2009 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal trading strategies for Itô diffusion processes
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper we present a method for determining optimal trading strategies for Itô diffusion processes. By framing the problem in terms of the first passage time for the process we derive distribution and density functions for the trade length and use these functions to calculate the expected trading frequency for the strategy. The expected value and the variance of the rate of profit are obtained as functions of the return per trade and trading frequency. We present two measures for trade drawdown which may be used as constraints when determining an optimal strategy. The optimal strategy is calculated for the Ornstein–Uhlenbeck process by maximising the expected rate of profit.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 14, 15 July 2009, Pages 2865–2873
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issue 14, 15 July 2009, Pages 2865–2873
نویسندگان
William K. Bertram,