Optimal trend following trading rules
DOI10.1287/MOOR.2015.0743zbMATH Open1336.91063OpenAlexW3126146079MaRDI QIDQ2806822FDOQ2806822
Authors: Min Dai, Zhou Yang, Qiji J. Zhu, Q. Zhang 
Publication date: 19 May 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/e8444cf3da4b661321b8245c165a5a8a812c68e3
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Hamilton-Jacobi-Bellman equationspartial informationbull-bear switching modeltrend following trading rule
Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Buy low and sell high
- Thou shalt buy and hold
- Portfolio Selection with Transaction Costs
- Optimal investment and consumption with transaction costs
- Trading a mean-reverting asset: buy low and sell high
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
- Trend following trading under a regime switching model
- Leverage management in a bull-bear switching market
- On the optimal stopping of a one-dimensional diffusion
- Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
- Buy-low and sell-high investment strategies
Cited In (15)
- Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
- A trend-following strategy: conditions for optimality
- A renewal theory approach to two-state switching problems with infinite values
- A Mathematical Analysis of Technical Analysis
- Stochastic evolution of distributions and functional Bollinger bands
- Optimal Retirement Under Partial Information
- Deep learning for enhanced index tracking
- Stochastic impulse control with regime-switching dynamics
- Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity
- Optimal trend-following trading rules under a three-state regime switching model
- Speculative trading, prospect theory and transaction costs
- Optimal investment in markets with over and under-reaction to information
- Trend following trading under a regime switching model
- A Stochastic Approximation Approach for Trend-Following Trading
- A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation through particle swarm optimization
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