Simultaneously long short trading in discrete and continuous time

作者：Baumann Michael Heinrich^*; Gruene Lars

来源：Systems & Control Letters, 2017, 99: 85-89.

DOI：10.1016/j.sysconle.2016.11.011

• Feedback-based stock trading
• Technical trading rules
• Simultaneously long short strategy
• Sampled-data systems
• Levy processes

Simultaneously long short (SLS) feedback trading strategies are known to yield positive expected gain by zero initial investment for price processes governed by, e.g., geometric Brownian motion or Merton's jump diffusion model. In this paper, we generalize these results to positive prices with stochastically independent multiplicative growth and constant trend in discrete and continuous time as well as for sampled-data systems and show that in all cases the SLS strategies' expected gain does not depend on the price model but only on the trend.

• 出版日期2017-1