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

DOI10.3934/MCRF.2016012zbMATH Open1345.93168OpenAlexW2489473640MaRDI QIDQ326803FDOQ326803

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

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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)

Cites Work

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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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