Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5010674 | Systems & Control Letters | 2017 | 5 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Michael Heinrich Baumann, Lars Grüne,