Name
Abstract | ||
|---|---|---|
This work develops numerical methods using stochastic approximation approach for an optimal stock trading (buy and sell) strategy. Assuming the underlying asset price is governed by a mean-reverting stochastic process, we aim to find buying and selling strategies so as to maximize an overall expected return. One of the advantageous of our approach is that the underlying asset is model free. Only mean reversion is required. Slippage cost is taken into consideration for each transaction. Convergence of the algorithms is provided. Numerical examples are reported to demonstrate the results. |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1109/ACC.2008.4586627 | Seattle, WA |
Keywords | DocType | ISSN |
approximation theory,pricing,stochastic processes,stock markets,asset price,buying low-selling high stock policy,mean-reverting stochastic process,numerical methods,optimal stock trading,slippage cost,stochastic approximation,stochastic process,solid modeling,mathematical model,mathematics,convergence,mean reversion,numerical method,boundary value problems,algorithm design and analysis | Conference | 0743-1619 E-ISBN : 978-1-4244-2079-7 |
ISBN | Citations | PageRank |
978-1-4244-2079-7 | 0 | 0.34 |
References | Authors | |
6 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Song, Q.S. | 1 | 3 | 1.52 |
| George Yin | 2 | 16 | 5.00 |
| Zhang, Q. | 3 | 0 | 0.34 |