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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationspartial informationbull-bear switching modeltrend following trading rule

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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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
• Leverage management in a bull-bear switching market
• On the optimal stopping of a one-dimensional diffusion
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
• Thou shalt buy and hold
• Trading a mean-reverting asset: buy low and sell high
• Trend following trading under a regime switching model

Cited in

(18)

• A mathematical analysis of technical analysis
• Optimal investment in markets with over and under-reaction to information
• Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
• A renewal theory approach to two-state switching problems with infinite values
• Stochastic impulse control with regime-switching dynamics
• Trend following trading under a regime switching model
• Trend following with momentum versus moving averages: a tale of differences
• Stochastic evolution of distributions and functional Bollinger bands
• Speculative trading, prospect theory and transaction costs
• Automatic one two three
• Optimal retirement under partial information
• A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation through particle swarm optimization
• Optimal allocation of trend following strategies
• A Stochastic Approximation Approach for Trend-Following Trading
• Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity
• Optimal trend-following trading rules under a three-state regime switching model
• A trend-following strategy: conditions for optimality
• Deep learning for enhanced index tracking

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