Buying and selling rules for a simple transaction of a mean-reverting asset

DOI10.7468/JKSMEB.2011.18.2.129zbMATH Open1225.91071OpenAlexW1998282566MaRDI QIDQ3173706FDOQ3173706

Authors: Dong-Hoon Shin 

Publication date: 10 October 2011

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2011.18.2.129

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zbMATH Keywords

regime switchingoptimal stoppingmean-reversion

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited In (7)

• An optimal trading rule of a mean-reverting asset
• Buy-low and sell-high investment strategies
• An optimal trading rule under a switchable mean-reversion model
• Buying and selling an asset over the finite time horizon: a non-parametric approach
• Trading a mean-reverting asset: buy low and sell high
• Stochastic algorithms and numerics for mean-reverting asset trading
• Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies

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