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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...
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| Published in: | Annals of operations research 2024-05, Vol.336 (1-2), p.691-709 |
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| Main Authors: | , |
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| Language: | English |
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| container_end_page | 709 |
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| container_title | Annals of operations research |
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| creator | Lovas, Attila Rásonyi, Miklós |
| description | 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. |
| doi_str_mv | 10.1007/s10479-023-05233-5 |
| format | article |
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| ispartof | Annals of operations research, 2024-05, Vol.336 (1-2), p.691-709 |
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| source | Springer Nature:Jisc Collections:Springer Nature Read and Publish 2023-2025: Springer Reading List |
| 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 |
| title | Ergodic aspects of trading with threshold strategies |
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