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Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies

https://doi.org/10.1080/07362990902844181
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Markov Processes
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Stochastic Differential Equations
inferredcites →https://doi.org/10.1007/b101987openalex-snapshot
Stochastic Approximation and Its Applications
inferredcites →https://doi.org/10.1007/b97441openalex-snapshot
Stochastic Approximation and Recursive Algorithms and Applications
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Uniform Asymptotic Expansions for Pricing European Options
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Optimal trading of a security when there are taxes and transaction costs
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Trading a mean-reverting asset: Buy low and sell high
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
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Permanent and Temporary Components of Stock Prices
inferredcites →https://doi.org/10.1088/1469-7688/2/5/302openalex-snapshot
On a semi-spectral method for pricing an option on a mean-reverting asset
inferredcites →https://doi.org/10.1090/conm/351/06402openalex-snapshot
Computing optimal selling rules for stocks using linear programming
inferredcites →https://doi.org/10.1093/oso/9780198851615.003.0005openalex-snapshot
Stochastic Differential Equations
inferredcites →https://doi.org/10.1093/rfs/9.3.921openalex-snapshot
The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs
inferredcites →https://doi.org/10.1109/tac.2005.854657openalex-snapshot
Optimal selling rules in a regime switching model
inferredcites →https://doi.org/10.1111/j.1467-9965.2006.00269.xopenalex-snapshot
STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
inferredcites →https://doi.org/10.1137/060652671openalex-snapshot
Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
inferredcites →https://doi.org/10.1137/s0363012999356325openalex-snapshot
Stock Trading: An Optimal Selling Rule
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Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
inferredcites →https://doi.org/10.1155/jamsa/2006/18109openalex-snapshot
Option pricing in a regime‐switching model using the fast Fourier transform
inferredcites →https://doi.org/10.1214/aoms/1177729586openalex-snapshot
A Stochastic Approximation Method
inferredcites →https://doi.org/10.2307/1061676openalex-snapshot
Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks
inferredcites →https://doi.org/10.2307/1905515openalex-snapshot
Some A Posteriori Probabilities in Stock Market Action
inferredcites →https://doi.org/10.2307/1912150openalex-snapshot
Capital Market Equilibrium with Personal Tax
inferredcites →https://doi.org/10.2307/2288588openalex-snapshot
Approximation and Weak Convergence Methods for Random Processes, With Applications to Stochastic Systems Theory.
inferredcites →https://doi.org/10.2307/2531839openalex-snapshot
Markov Processes: Characterization and Convergence.

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Optimal Trend Following Trading Rules
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Optimal Trend Following Trading Rules
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Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
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Brain Activity Follow Up of Stock Market Financial Variables
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Speculative Trading, Prospect Theory and Transaction Costs
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A Stochastic Approximation Approach for Trend-Following Trading
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Markets with random lifetimes and private values: mean reversion and option to trade
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Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
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Ergodic aspects of trading with threshold strategies
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A Coupled Optimal Stopping Approach to Pairs Trading over a Finite Horizon
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Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
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Optimal double stopping of a Brownian bridge
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A stochastic approximation algorithm for option pricing model calibration with a switchable market
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Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
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Trend-following trading using recursive stochastic optimization algorithms
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BUY‐LOW AND SELL‐HIGH INVESTMENT STRATEGIES
inferred← citeshttps://doi.org/10.1111/mafi.12182openalex-snapshot
Realization utility with adaptive reference points
inferred← citeshttps://doi.org/10.1142/s021902491550020xopenalex-snapshot
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
inferred← citeshttps://doi.org/10.1142/s0219024918500048openalex-snapshot
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS
inferred← citeshttps://doi.org/10.1239/aap/1449859807openalex-snapshot
Optimal double stopping of a Brownian bridge
inferred← citeshttps://doi.org/10.1287/moor.2015.0743openalex-snapshot
Optimal Trend Following Trading Rules
inferred← citeshttps://doi.org/10.1287/moor.2019.0995openalex-snapshot
Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty
inferred← citeshttps://doi.org/10.1287/moor.2021.0186openalex-snapshot
Quickest Detection Problems for Ornstein–Uhlenbeck Processes
inferred← citeshttps://doi.org/10.3390/risks6040107openalex-snapshot
A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs
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Optimal double stopping of a Brownian bridge
inferred← citeshttps://doi.org/10.7468/jksmeb.2011.18.2.129openalex-snapshot
BUYING AND SELLING RULES FOR A SIMPLE TRANSACTION OF A MEAN-REVERTING ASSET
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Optimal Multiple Stopping Approach to Mean Reversion Trading
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Optimal Stopping and Switching Problems with Financial Applications
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