Momentum liquidation under partial information

DOI10.1017/JPR.2016.4MaRDI QIDQ3188565zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Martin Vannestål

Publication date 11 August 2016

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1466172858, https://semanticscholar.org/paper/6ee3ae10e0b3b46340d4e8b3e6581b481616ba72

zbMATH Keywords

momentum tradingoptimal stoppingquickest detection problem for Brownian motionstock selling

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65) Actuarial science and mathematical finance (91G99)

Recommendations

• Optimal closing of a momentum trade
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Cites work

• Comment on “Investment Timing Under Incomplete Information”
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3886816 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Investment Timing Under Incomplete Information
• Multisource Bayesian sequential change detection
• On a stochastic version of the trading rule “Buy and Hold”
• On the perpetual American put options for level dependent volatility models with jumps
• On the Wiener disorder problem
• Optimal closing of a momentum trade
• Optimal selling of an asset under incomplete information
• Optimal stock selling based on the global maximum
• Optimal stopping of a piecewise-deterministic markov process
• Optimal stopping times with different information levels and with time uncertainty
• Thou shalt buy and hold

Cited in

(4)

• Optimal entry decision of unemployment insurance under partial information
• Informed trading and momentum in the corporate bond market
• Optimal dynamic momentum strategies
• Optimal closing of a momentum trade

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