Ergodic Behavior of Returns in a Buy Low and Sell High Type Trading Strategy

Hedvig Gál () and Attila Lovas ()
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Hedvig Gál: Corvinus University of Budapest
Attila Lovas: Alfréd Rényi Institute of Mathematics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 278-283 from Springer

Abstract: Abstract In algorithmic trading strategies aiming at “Buying Low and Selling High” a given asset is a recurrent topic for many practitioners and still pose challenges for researchers. We may ask, for example, what happens in the long run if we set price levels $$\underline{\theta }

Keywords: Algorithmic trading; Threshold-type strategies; Optimal investment; Stochastic stability; Markov chain; Minorization condition (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_45

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DOI: 10.1007/978-3-030-99638-3_45

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