An optimal mean-reversion trading rule under a Markov chain model

DOI10.3934/MCRF.2016012MaRDI QIDQ326803zbMATH OpenOpenAlexFDO

Authors Jingzhi Tie, Q. Zhang

Publication date 12 October 2016

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/mcrf.2016012

zbMATH Keywords

optimal stoppingvariational inequalitiesmean-reversion Markovian asset

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Variational inequalities (49J40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

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• An equilibrium characterization of the term structure
• An optimal pairs-trading rule
• Continuous-time Markov chains and applications. A two-time-scale approach
• Explicit solutions for an optimal stock selling problem under a Markov chain model
• Mathematics of financial markets.
• On a semi-spectral method for pricing an option on a mean-reverting asset
• Optimal selling rules in a regime switching model
• Stock trading: an optimal selling rule
• The Markov Chain Market
• Trading a mean-reverting asset: buy low and sell high
• Trend following trading under a regime switching model

Cited in

(10)

• An optimal trading rule of a mean-reverting asset
• Markets with random lifetimes and private values: mean reversion and option to trade
• On a stochastic version of the trading rule “Buy and Hold”
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• An optimal trading rule under a switchable mean-reversion model
• Explicit solutions for an optimal stock selling problem under a Markov chain model
• Optimal trend following trading rules
• Stock trading rules under a switchable market
• Learning Theory
• Buying and selling rules for a simple transaction of a mean-reverting asset

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