A Bellman View of Jesse Livermore

Nick Polson and Jan Hendrik Witte

Papers from arXiv.org

Abstract: Richard Bellman's Principle of Optimality, formulated in 1957, is the heart of dynamic programming, the mathematical discipline which studies the optimal solution of multi-period decision problems. In this paper, we look at the main trading principles of Jesse Livermore, the legendary stock operator whose method was published in 1923, from a Bellman point of view.

Date: 2014-07, Revised 2014-10
New Economics Papers: this item is included in nep-hpe
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1407.2642

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