英文标题：
《Robustness of mathematical models and technical analysis strategies》
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作者：
Ahmed Bel Hadj Ayed, Gr\\\'egoire Loeper, Fr\\\'ed\\\'eric Abergel
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最新提交年份：
2016
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英文摘要：
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.
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中文摘要：
本文的目的是比较参数错误下最优策略和技术分析交易策略的性能。我们考虑的背景是随机资产价格模型，其中趋势遵循不可观察的Ornstein-Uhlenbeck过程。对于这两种策略，我们都提供了对数收益的渐近期望，作为模型参数的函数。最后，数值算例表明，在参数不确定的情况下，采用交叉移动平均规则的投资策略比最优策略更稳剑
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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