Ergodic aspects of trading with threshold strategies

To profit from price oscillations, investors frequently use threshold-type strategies where changes in the portfolio position are triggered by some indicators reaching prescribed levels. In this paper we investigate threshold-type strategies in the context of ergodic control. We make the first steps...

Full description

Saved in:
Bibliographic Details
Published in:Annals of operations research 2024-05, Vol.336 (1-2), p.691-709
Main Authors: Lovas, Attila, Rásonyi, Miklós
Format: Article
Language:English
Subjects:
Business and Management
Combinatorics
Ergodic processes
Investigations
Markov analysis
Operations research
Operations Research/Decision Theory
Original Research
Position indicators
Random variables
Random walk
Theory of Computation
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:To profit from price oscillations, investors frequently use threshold-type strategies where changes in the portfolio position are triggered by some indicators reaching prescribed levels. In this paper we investigate threshold-type strategies in the context of ergodic control. We make the first steps towards their optimization by proving ergodic properties of related functionals. Assuming Markovian price increments satisfying a minorization condition and (one-sided) boundedness we show, in particular, that for given thresholds, the distribution of the gains converges in the long run. We also extend recent results on the stability of overshoots of random walks from the i.i.d. increment case to Markovian increments, under suitable conditions.
ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-023-05233-5