Trading Strategies with Position Limits

Valerii Salov

Papers from arXiv.org

Abstract: Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are derived. A discrete distribution of actions, corresponding probability mass, cumulative distribution and characteristic functions, moments, extreme values are presented. Strategies time slice distributions are determined. Vector properties of trading strategies are studied. Algebraic not associative, commutative, initial magmas with invertible elements control trading positions and strategies. Maximum profit strategies, MPS, and optimal trading elements can define trading patterns. Dynkin introduced the term interpreted in English as "Markov time" in 1963. Neftci applied it for the formalization of Technical Analysis in 1991.

Date: 2017-12
New Economics Papers: this item is included in nep-mst
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