《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健。
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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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