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

absolutely summable linear filterconvex cost functionKalman filtertrading strategytrend estimate

Mathematics Subject Classification ID

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

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Cited in

(15)

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

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