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Optimal Trading Strategies A Time Series Approach
| Content Provider | Scilit |
|---|---|
| Author | Bebbington, Peter Antony Kkhn, Reimer |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz’ mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows to find an optimal trading strategy which — for a given return — is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data. |
| Related Links | http://arxiv.org/pdf/1509.07953 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2881986 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2881986 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-03-28 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Statistics and Probability |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
