Ergodic aspects of trading with threshold strategies

Attila Lovas () and Miklós Rásonyi
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Attila Lovas: Alfréd Rényi Institute of Mathematics
Miklós Rásonyi: Alfréd Rényi Institute of Mathematics

Annals of Operations Research, 2024, vol. 336, issue 1, No 22, 709 pages

Abstract: Abstract 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.

Keywords: Minorization; Random walk; Stochastic stability; Threshold-type strategies; Optimal investment (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10479-023-05233-5

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