The trader's problem

DOI10.1080/15326349908807136MaRDI QIDQ3210322zbMATH OpenOpenAlexWikidataFDO

Authors Joseph V. Mandarino

Publication date 1990

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349908807136

zbMATH Keywords

Kalman filterconvex cost functiontrading strategyabsolutely summable linear filtertrend estimate

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11) Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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(15)

• Some trading strategies on the securities market
• Learning the optimal trading strategy
• A wavelet strategy to buy low and sell high
• Beating the market? A mathematical puzzle for market efficiency
• Rogue traders
• Optimal trading strategies -- a time series approach
• On evaluation of strategies of a return process
• Another explanation for the bias observed in the filter rule test
• Automatic one two three
• A mathematical approach to fractional trading: using the terminal wealth relative with discrete and continuous distributions
• Forecasting trends with asset prices
• A probabilistic analysis of the trading the line strategy
• A modified trading model with an application to the German DAX index
• Simultaneously long short trading in discrete and continuous time
• Learning Theory

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