A Stochastic Approximation Approach for Trend-Following Trading

DOI10.1007/978-1-4899-7442-6_7MaRDI QIDQ4562480zbMATH OpenOpenAlexFDO

Authors

Publication date 21 December 2018

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4899-7442-6_7

zbMATH Keywords

bear marketsample pathsharpe ratiostochastic approximationstock price

Mathematics Subject Classification ID

Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Buy low and sell high
• Buy-low and sell-high investment strategies
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 1972910 (Why is no real title available?)
• Optimal investment and consumption with transaction costs
• Optimal trend following trading rules
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
• The preferability of investment through a mutual fund
• Trading a mean-reverting asset: buy low and sell high
• Trend following trading under a regime switching model

Cited in

(10)

• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
• Multi-asset scenario building for trend-following trading strategies
• Optimal trend following trading rules
• Trend following trading under a regime switching model
• scientific article; zbMATH DE number 5800989 (Why is no real title available?)
• scientific article; zbMATH DE number 5666937 (Why is no real title available?)
• Optimal trend-following trading rules under a three-state regime switching model
• Automatic one two three
• A trend-following strategy: conditions for optimality
• Analysis of the total profitability asymptotic distribution for a trade algorithm

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