Robustness of mathematical models and technical analysis strategies
Ahmed Bel Hadj Ayed,
Gr\'egoire Loeper and
Fr\'ed\'eric Abergel
Papers from arXiv.org
Abstract:
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. For both strategies, we provide the asymptotic expectation of the logarithmic return as a function of the model parameters. Finally, numerical examples find that an investment strategy using the cross moving averages rule is more robust than the optimal strategy under parameters mis-specification.
Date: 2016-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1605.00173
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