An efficient algorithm for the optimal market timing over two stocks

DOI10.1007/S10255-004-0180-0zbMATH Open1099.91052OpenAlexW2026383179MaRDI QIDQ1884653FDOQ1884653

Authors: Hui Li, Hongzhi An, Guo Fu Wu 

Publication date: 5 November 2004

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-004-0180-0

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zbMATH Keywords

transaction costinvestment returnoptimal trading strategysufficient statisticslargest change

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cited In (1)

• Improved dynamic trading strategy IS algorithm

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